<p>In this thesis we present a model of the interacting agents on the financial market. The agents are represented by a non-Euclidean random graph, where each agent communicate with another with probability p, and the interaction according to the Ising Model. We investigate properties of the model by direct calculations for small graph sizes, and by perfect simulation for larger graph sizes. We also present a model for asset price variation by using the magnetization of the Ising model.</p>

In this thesis we present a model of the interacting agents on the financial market. The agents are represented by a non-Euclidean random graph, where each agent communicate with another with probability p, and the interaction according to the Ising Model. We investigate properties of the model by direct calculations for small graph sizes, and by perfect simulation for larger graph sizes. We also present a model for asset price variation by using the magnetization of the Ising model.

We present a dynamic asset pricing model based on a heterogenous class of traders. These traders are homogenous in the sense that they are fundamentalists who base their investment decisions on an exogenoulsy given fundamental value. They are heterogenous in the sense that each trader is working with a different frequency of the underlying price data. As a result we have a system of interacting investors who together influence the market price. We derive a system that characterizes out-of-equilibrium dynamics of prices in this market which is structurally equivalent to the Nosé-Hoover thermostat equation in non-equilibrium thermodynamics. We explore the time series properties of these prices and find that they exhibit fat tails of returns distributions, volatility clustering and power laws. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"