The three-state G. Iori model of heteroagents placed in sites of a planar square lattice in the version has been modified. We model the increase of herding behaviour by simulating the altering trust of an agent to neighbour one: the trust increases if the price change has been foreseen by the neighbour correctly and decreases - if foreseen incorrectly. The agents base their decisions on looking at both their neighbours' advice and the fundamental price of the asset. The fundamental behaviour switches on periodically. The model reconstructs the following real market phenomena (stylized facts): volatility clustering, fat tail log return distribution and the power law decay of the volatility (absolute value of log returns) autocorrelation function over time. The latter corresponds to the real market empirical data supplied with high accuracy.

• Legal notice:
  

  Copyright (c) Pielaszek Research, all rights reserved.
  The above materials, including auxiliary resources, are subject to Publisher's copyright and the Author(s) intellectual rights. Without limiting Author(s) rights under respective Copyright Transfer Agreement, no part of the above documents may be reproduced without the express written permission of Pielaszek Research, the Publisher. Express permission from the Author(s) is required to use the above materials for academic purposes, such as lectures or scientific presentations.
  In every case, proper references including Author(s) name(s) and URL of this webpage: https://science24.com/paper/25322 must be provided.

1. Is Implied Volatility based mostly on recent price activity?
2. Inter-transaction times and long memory of financial time series
3. Intraday correlation structure for high frequency financial data
4. Analysis of times between events by methods of statistical physics
5. Fractional Market Model and its Verification on the Warsaw Stock Exchange
6. Bose-Einstein condensation shown by Monte Carlo simulation
7. Remarks on the possible universal mechanism of the non-linear long-term autocorrelations in financial time-series
8. Random walk on a linear chain with a quenched distribution of jump lengths
9. Modified Fermi-Dirac Statistics of Fermionic Lattice Gas by the Back-Jump Correlations
10. Thermal neutron scattering from the hydrogen-metal systems in terms of general multi-sublattice jump diffusion model - II: Remarks on hydrogen diffusion in the α-phase of Nb-H
11. Simple molecular mechanisms of heat transfer: Debye relaxation versus power-law
12. Stock market context of the Lévy walks with varying velocity
13. Tracer diffusion on two coupled lines: The long-time tail of the velocity autocorrelation function compared to the mode-coupling prediction
14. Distribution for Fermionic Discrete Lattice Gas within the Canonical Ensemble
15. Monte Carlo Simulations of Lattice Gases Exhibiting Quantum Statistical Distributions
16. Modeling of super-extreme events: An application to the hierarchical Weierstrass-Mandelbrot Continuous-time Random Walk
17. Biased random walk on a biased random walk
18. Possible origin of the non-linear long-term autocorrelations within the Gaussian regime
19. Applications of statistical mechanics to non-brownian random motion
20. Real-time numerical simulation of the Carnot cycle
21. Quantum statistics and discreteness. Differences between the canonical and grand canonical ensembles for a fermionic lattice gas
22. Tracer diffusion in honey-comb lattice correlations over several consecutive jumps
23. Spatio–temporal coupling in the continuous-time Lévy flights
24. Determination of the chemical diffusion coefficient by Monte Carlo simulation of the center-of-mass propagation
25. Tracer Diffusion in Concentrated Lattice Gas Models. Rectangular Lattices with Anisotropic Jump Rates
26. Study of the non-linear autocorrelations within the Gaussian regime
27. Anomalous transport and diffusion versus extreme value theory
28. Diffusion in concentrated lattice gases: Intermediate incoherent dynamical scattering function for tagged particles on a square lattice
29. Modeling of income distribution in the European Union with the Fokker-Planck equation
30. Susceptibility and transport coefficient in a transient state on a one-dimensional lattice. I. Extended linear response and diffusion
31. Report on Foundation and Organization of Econophysics Graduate Courses at Faculty of Physics of University of Warsaw and Department of Physics and Astronomy of the Wrocław University
32. Dynamic structural and topological phase transitions on the Warsaw Stock Exchange: A phenomenological approach
33. Higher-order analysis within Weierstrass hierarchical walks
34. Correlated hopping in honeycomb lattice: tracer diffusion coefficient at arbitrary lattice gas concentration
35. Diffusion in one-dimensional bosonic lattice gas
36. Structural and topological phase transitions on the German Stock Exchange 
37. Hierarchical spatio-temporal coupling in fractional wanderings. (I) Continuous-time Weierstrass flights
38. Thermal neutron scattering from a hydrogen-metal system in terms of a general multi-sublattice jump diffusion model—I: Theory
39. Random walk on a random walk
40. Diffusion in concentrated lattice gases. VI. Tracer diffusion on two coupled linear chains
41. Comparative Analysis of Income Distributions in the European Union and the United States
42. Excess Noise for Driven Diffusive Systems
43. Diffusion in concentrated lattice gases. III. Tracer diffusion on a one-dimensional lattice
44. Chemical diffusion in the lattice gas of non-interacting particles
45. Diffusion in concentrated lattice gases. Self-diffusion of noninteracting particles in three-dimensional lattices
46. Diffusion in concentrated lattice gases. II. Particles with attractive nearest-neighbor interaction on three-dimensional lattices
47. Anomalous Diffusion: From Basics to Applications
48. Mean square displacement of a tracer particle in a hard-core lattice gas
49. Diffusion in concentrated lattice gases IV. Diffusion coefficient of tracer particle with different jump rate
50. Diffusion in concentrated lattice gases. V. Particles with repulsive nearest-neighbor interaction on the face-centered-cubic lattice
51. Stochastic simulations of time series within Weierstrass–Mandelbrot walks
52. Income distribution in the European Union versus in the United States
53. Universality of market superstatistics
54. Dynamic bifurcations on financial markets
55. Income and wealth distribution of Norwegian households
56. Higher-order phase transitions on financial markets
57. Temporal condensation and dynamic λ-transition within the complex network: an application to real-life market evolution
58. Backward jump continuous-time random walk: An application to market trading
59. Universality of market superstatistics. Superscaling
60. Rozmowa o Ekonofizycje - Akademickie Radio Kampus
61. Modeling of large claims in a non-life insurance company
62. Correlations and dependencies in high-frequency stock market data
63. Continuous-Time Random Walk models with memory. An application to description of market dynamics
64. Superextreme Events and Their Impact on Characteristics of Time Series
65. Analysis of leptokurtosis in model distributions and simulated noises
66. Application of the MST technique to the analysis of cross-correlations in the Warsaw Stock Exchang.
67. Modelling of annual European Union household incomes by using an equilibrium solution of the threshold Fokker-Planck equation
68. Catastrophic bifurcations on financial markets
69. Asymmetric noises on a stock exchange.
70. Influence of super-extreme events on a Weierstrass-Mandelbrot Continuous-Time Random Walk
71. Non-Gaussian statistics on the Forex
72. Backward jump Continuous-Time Random Walk on a stock market. What is the true origin of the autocorrelation on the market?
73. Study of  households' income  in Poland and European Union by using the statistical physics approach
74. The non-gaussian continuous-time random walk analisys of the option dynamics
75. Share price movements as non-independent continuous-time random walk
76. Problem of rare events in modelling of the financial state of insurance company
77. Study of households' income in Poland by using the statistical physics approach
78. News from application of the Mittag-Leffler function to house and financial markets
79. Anomalous left-sided multifractal structure of intertransation time-intervals and the possible third-order phase transition on financial market
80. Model of the fractional viscoelastic market
81. Multifractality within the continuous-time random walk in financial markets
82. Fractional Market Model and its verification on stock markets of small size
83. Econophysics on Faculty of Physics at Warsaw University
84. Dynamics of the Warsaw Stock Exchange index as analysed by the fractional relaxation equation
85. Non-linear long-term autocorrelations present in empirical and synthetic high-frequency financial time-series. Possibility of risk classification