PERCOLATION MODELS OF FINANCIAL MARKET DYNAMICS

DOI10.1142/S0219525901000061zbMath1090.82508OpenAlexW1996562468WikidataQ128126953 ScholiaQ128126953MaRDI QIDQ4425246

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

herding behaviorCont-Bouchaud modeltail exponentsup-down asymmetry

Mathematics Subject Classification ID

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

Related Items (10)

Information cascade on networks ⋮ MARKET DEPTH AND PRICE DYNAMICS: A NOTE ⋮ Asynchronous Semianonymous Dynamics over Large-Scale Networks ⋮ Tobin tax and market depth ⋮ Time-reversal asymmetry in Cont-Bouchaud stock market model ⋮ BAYESIAN IDENTIFICATION OF MULTIPLE CHANGE POINTS IN POISSON DATA ⋮ Phase coexistence in a forecasting game ⋮ THE WORKING OF CIRCUIT BREAKERS WITHIN PERCOLATION MODELS FOR FINANCIAL MARKETS ⋮ APPLYING THE PRODUCT PARTITION MODEL TO THE IDENTIFICATION OF MULTIPLE CHANGE POINTS ⋮ Volatility cluster and herding

Cites Work

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

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