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Article

A Simple Econophysics Model of the Stock Market as a Nonequilibrium Open System

Lecture Notes in Electrical Engineering. 2019. Vol. 489. P. 237-243.
Dmitriev A. V., Сильчев В. А., Дмитриев В. А.

Mathematical modeling of a stock market functioning is one of the actual and at the same time complex task of the modern theoretical economics. From our point of view, building such mathematical models “ab initio”, by using analogy between the stock market and a certain physical system (in our work, laser), is the most promising approach. This paper proposes a simple econophysical model of stock market as an open nonequilibrium system in form of Lorenz–Haken equation. In this system, variation of ask price, variation of bid price, and instantaneous difference between numbers of agents in active and passive state are intensity of external information flow is a control parameter. This model explains the impossibility of existence of an equilibrium state of the market and shows the presence of deterministic chaos in a stock market.