PERCOLATION MODELS OF FINANCIAL MARKET DYNAMICS

DOI10.1142/S0219525901000061MaRDI QIDQ4425246zbMATH OpenOpenAlexWikidataFDO

Authors Dietrich Stauffer

Publication date 2001

Published in Advances in Complex Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219525901000061

zbMATH Keywords

Cont-Bouchaud modelherding behaviortail exponentsup-down asymmetry

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Time-dependent percolation in statistical mechanics (82C43) Economic growth models (91B62)

Recommendations

• Can percolation theory be applied to the stock market?
• ASYMMETRIES, CORRELATIONS AND FAT TAILS IN PERCOLATION MARKET MODEL
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Cites work

• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING

Cited in

(17)

• Information cascade on networks
• Critical market crashes
• Volatility cluster and herding
• ASYMMETRIES, CORRELATIONS AND FAT TAILS IN PERCOLATION MARKET MODEL
• BAYESIAN IDENTIFICATION OF MULTIPLE CHANGE POINTS IN POISSON DATA
• Can percolation theory be applied to the stock market?
• APPLYING THE PRODUCT PARTITION MODEL TO THE IDENTIFICATION OF MULTIPLE CHANGE POINTS
• Nucleation of market shocks in the Sornette-Ide model
• MARKET DEPTH AND PRICE DYNAMICS: A NOTE
• Johansen-Sornette hierarchical model of financial crashes and its ultrametric generalization
• Phase coexistence in a forecasting game
• AVALANCHE DYNAMICS OF THE FINANCIAL MARKET
• THE WORKING OF CIRCUIT BREAKERS WITHIN PERCOLATION MODELS FOR FINANCIAL MARKETS
• Tobin tax and market depth
• Time-reversal asymmetry in Cont-Bouchaud stock market model
• Asynchronous Semianonymous Dynamics over Large-Scale Networks
• Information cascade on networks and phase transitions

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