AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS

DOI10.1142/S0129183199000930zbMath1058.91542MaRDI QIDQ4502825

Giulia Iori

Publication date: 4 January 2001

Published in: International Journal of Modern Physics C (Search for Journal in Brave)

zbMATH Keywords

Complex systems; Stock Market models; Volatility clustering

Mathematics Subject Classification ID

82B99: Equilibrium statistical mechanics

Related Items

Herding behaviour and volatility clustering in financial markets, Uncovering the non-equilibrium stationary properties in sparse Boolean networks, MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING AND HETEROGENEOUS AGENTS, Agent-based simulation of a financial market, ``Slimming of power-law tails by increasing market returns, Equilibrium pricing in an order book environment: case study for a spin model, Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents, Stochastic resonance as a model for financial market crashes and bubbles, Volatility cluster and herding, Mechanism of investor behavior propagation in stock market, MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING ON REGULAR AND SMALL-WORLD LATTICES

Cites Work

• Long-range dependence in the conditional variance of stock returns
• Generalized autoregressive conditional heteroscedasticity
• MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• The Price Variability-Volume Relationship on Speculative Markets
• On the stability of the mean-field spin glass broken phase under non-Hamiltonian perturbations