| Institution: | (1) Department of Physics, East China Normal University, 3663 North Zhongshan Road, Shanghai, 200062, P.R. China;(2) Department of Communication Engineering, Civil Aviation University of China (CAUC), Tianjin, 300300, P.R. China;(3) CIC (Deutschland) AG, Hinrichsenstr. 25, 20535 Hamburg, Germany |
| Abstract: | Open dynamic behaviour of financial markets with internal
interactions between agents and with external “fields” from other systems
are investigated using the approach of Grossman and Stiglitz for inefficient
markets, and Keynes for interference of the market using physics of finance
(referred to hereafter as phynance). The simulation results indicate that
the NYSE data analyzed in Plerou, V. et al., Nature 421, 130 (2003) can be fitted
by an equation of order parameter Φ and local deviation R of type:
-(R+0.03) Φ+ 0.6 Φ3 + 0.02 = 0, which is shown to be in
remarkable agreement with Plerou's data. |
