Aself-adjustedMonteCarlosimulationasmodeloffinancialmarketswithcentralregulatio.pdfVIP

A self-adjusted Monte Carlo simulation 5 0 as a model for financial markets with central 0 2 regulation n u J 3 ∗ 1 Denis Horv´ath , Martin Gmitra, Zolt´an Kuscsik ] ˇ h Institute of Physics, Saf´arik University, Park Angelinum 9, 040 01 Koˇsice, c Slovak Republic e m - t a Abstract t s . t Properties of the self-adjusted Monte Carlo algorithm applied to 2d Ising ferromag- a m net are studied numerically. The endogenous feedback form expressed in terms of - the instant running averages is suggested in order to generate a biased random walk d of the temperature that converges to criticality without an external tuning. The n o robustness of a stationary regime with respect to partial accessibility of the infor- c mation is demonstrated. Several statistical and scaling aspects have been identified [ which allow to establish an alternative spin lattice model of the financial market. It 1 turns out that our model alike model suggested by S. Bornholdt, Int. J. Mod. Phys. C v 8 12 (2001) 667, may be described by L´evy-type stationary distribution of feedback 7 variations with unique exponent α1 ∼ 3.3. However, the differences reflected by 2 Hurst exponents suggest that resemblances between the studied models seem to be 6 0 nontrivial. 5 0 / Key words: Monte Carlo, self-adjusted parameters, econophysics, portfolio t a diversification, L´evy distribution m PACS: : 02.70.Uu, 05.50.+q, 89.65.Gh, 05.65.+b - d n