THE WORKING OF CIRCUIT BREAKERS WITHIN PERCOLATION MODELS FOR FINANCIAL MARKETS

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

zbMATH Keywords

financial marketseconophysicspercolation modelstrading breaks

Mathematics Subject Classification ID

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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