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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.

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