THE WORKING OF CIRCUIT BREAKERS WITHIN PERCOLATION MODELS FOR FINANCIAL MARKETS
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Publication:5484258
DOI10.1142/S0129183106009035zbMath1187.91147OpenAlexW2072430701MaRDI QIDQ5484258
Gudrun Ehrenstein, Frank H. 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
Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Percolation (82B43) Actuarial science and mathematical finance (91G99)
Cites Work
- Speculative markets and the effectiveness of price limits
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- Artificial economic life: A simple model of a stockmarket
- MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
- PERCOLATION MODELS OF FINANCIAL MARKET DYNAMICS
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- Tobin tax and market depth
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