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Speculative and hedging interaction model in oil and U.S. dollar markets – phase transition. (English) Zbl 1386.82014
Summary: We show that there is a phase transition in the bounded rational Carfì-Musolino model, and the possibility of a market crash. This model has two types of operators: a real economic subject (Air) and one or more investment banks (Bank). It also has two markets: oil spot market and US dollar futures. Bank agents react to Air and equilibrate much more quickly than Air. Thus Air is an acting external agent due to its longer-term investing, whereas the action of the banks equilibrates before Air makes its next transaction. This model constitutes a potential game, and agents crowd their preferences into one of the markets at a critical temperature when air makes no purchases of oil futures.

82B26 Phase transitions (general) in equilibrium statistical mechanics
91B26 Auctions, bargaining, bidding and selling, and other market models
91A40 Other game-theoretic models
Full Text: DOI
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