Stochastic resonance as a model for financial market crashes and bubbles

DOI10.1016/S0378-4371(02)01375-4MaRDI QIDQ1852545zbMATH OpenOpenAlexFDO

Authors A. Krawiecki, Janusz A. Hołyst

Publication date 6 January 2003

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-4371(02)01375-4

zbMATH Keywords

Ising modellong-range interactionsthermal-bath dynamics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 1532283 (Why is no real title available?)
• A model of international financial crises
• AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS
• Agent-based simulation of a financial market
• Discrete scale invariance in stock markets before crashes
• Dynamical models of stock market exchanges: From microscopic determinism to macroscopic randomness
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Phase transitions in social impact models of opinion formation
• Physics and social science -- the approach of synergetics
• Quantitative sociodynamics. Stochastic methods and models of social interaction processes. Transl. from the German by Richard Calek and Dirk Helbing
• Statistical physics in foreign exchange currency and stock markets
• Stochastic resonance in an interacting-agent model of stock market.
• Stochastic resonance in the Weidlich model of public opinion formation

Cited in

(11)

• Coherence and stochastic resonance in the fractional-birhythmic self-sustained system subjected to fractional time-delay feedback and Lévy noise
• Multiple stochastic and inverse stochastic resonances with transition phenomena in complex corporate financial systems
• A model for prejudiced learning in noisy environments
• Noise and periodic signal induced stochastic resonance in a Langevin equation with random mass and frequency
• MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING AND HETEROGENEOUS AGENTS
• Stochastic resonance in an interacting-agent model of stock market.
• The roles of extrinsic periodic information on the stability of stock price
• Bubbles and crashes: gradient dynamics in financial markets
• Real space renormalization group study of the two-dimensional super-antiferromagnetic Ising model
• Noise-Induced Resonance in Bistable Systems Caused by Delay Feedback
• Bifurcation and chaotic behavior of credit risk contagion based on FitzHugh-Nagumo system

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