THE WORKING OF CIRCUIT BREAKERS WITHIN PERCOLATION MODELS FOR FINANCIAL MARKETS

DOI10.1142/S0129183106009035zbMATH Open1187.91147OpenAlexW2072430701MaRDI QIDQ5484258FDOQ5484258

Gudrun Ehrenstein, Frank Westerhoff

Publication date: 24 August 2006

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

Full work available at URL: https://doi.org/10.1142/s0129183106009035

Recommendations

• TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS
• Speculative markets and the effectiveness of price limits
• PERCOLATION MODELS OF FINANCIAL MARKET DYNAMICS
• Order book, financial markets, and self-organized criticality
• Examining the effectiveness of price limits in an artificial stock market

zbMATH Keywords

econophysicsfinancial marketspercolation modelstrading breaks

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Percolation (82B43) Actuarial science and mathematical finance (91G99)

Cites Work

• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Tobin tax and market depth
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
• Speculative markets and the effectiveness of price limits
• Artificial economic life: A simple model of a stockmarket
• PERCOLATION MODELS OF FINANCIAL MARKET DYNAMICS

Cited In (1)

• TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS

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