Phase Transition in a Bounded Rational Speculative and Hedging Model - Couverture souple

Campbell, Michael; Carfì, David

 
9786202004671: Phase Transition in a Bounded Rational Speculative and Hedging Model

Synopsis

The authors create an economic model of two interacting markets with bounded rational agents that exhibits emergence of market preference arising from a broken market-exchange symmetry. Such emergence can cause agents to move money from one market into the other, resulting in a market crash in certain scenarios. The market-exchange symmetry, and its breaking, gives a statistical mechanics perspective to the ideas of the Sonnenschein-Mantel-Debreu theorem.

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