Berlin 2012 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 21: Economic Models and Evolutionary Game Theory II

SOE 21.1: Vortrag

Donnerstag, 29. März 2012, 15:30–15:45, H 0110

Financial bubbles from opinion formation with feedbacks — •Sebastian M. Krause and Stefan Bornholdt — Institut für Theoretische Physik, Universität Bremen, Otto-Hahn-Allee, 28359 Bremen

Herding behavior is at the basis of financial bubbles and crashes. Opinion formation mechanisms in this field (ranging from conversation among investors to political regulation) are affected by the overall system state. An illustrative example is the influence of panic on discussions.

The modified Ising model in [1] incorporates a global feedback as a plausible representation of reactions to market imbalances [2]. Such global feedbacks are missing in most opinion formation models. However, in markets there are macroscopic quantities visible for every agent as, for example prices of assets. We here present an opinion formation model related to the voter model and introduce a feedback representing the response behavior of single agents to their neighbors. Despite its simplicity, our model shows a rich dynamics. We observe metastable, balanced, and ordered states which are absent in the system without feedback.

[1] S. Bornholdt, Expectation bubbles in a spin model of markets: Intermittency from frustration across scales; Int. J. Mod. Phys. C 12 (2001) 667-674.

[2] S. M. Krause and S. Bornholdt, Spin models as microfoundation of macroscopic financial market models (2011) arXiv:1103.5345v1.