Self-organized percolation model for stock market fluctuations
نویسندگان
چکیده
منابع مشابه
Self-Organized Percolation Model for Stock Market Fluctuations
In the Cont-Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing the concentration controlling each cluster connectivity artificially at or close to the critical value, we propose that clusters shatter and aggregate continuously as the concentration evolves rando...
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The stock market is a complex self-interacting system, characterized by intermittent behaviour. Periods of high activity alternate with periods of relative calm. In the present work we investigate empirically the possibility that the market is in a self-organized critical state (SOC). A wavelet transform method is used in order to separate high activity periods, related to the avalanches found ...
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The herd behavior of the Cont Bouchaud model is amplified by allowing clusters to copy decisions of some other cluster in the next time step. The results of the model are compared to data from Warsaw Stock Exchange. It follows that the mechanism of the amplified imitation could be responsible for the sell decision on a poorly developed, emergent market.
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 1999
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(99)00290-3