Self-Organized Percolation Model for Stock Market Fluctuations

Details Self-Organized Percolation Model for Stock Market Fluctuations Self-Organized Percolation Model for Stock Market Fluctuations

1999-06-29

arxiv.org/abs/cond-mat/9906434v1

Physica A 271, N3-4, 496-506 (1999)

Physics

Condensed Matter

Statistical Mechanics

12 pages, 5 figures

Scientific paper

10.1016/S0378-4371(99)00290-3

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 randomly, reflecting the incessant time evolution of groups of opinions and market moods. By the mechanism of ``sweeping of an instability'' [D. Sornette, Journal de Physique I 4, 209 (1994)], this market model spontaneously exhibits reasonable power law statistics for the distribution of price changes and accounts for the other important stylized facts of stock market price fluctuations.

Affiliated with

Also associated with

No associations

Rating

Self-Organized Percolation Model for Stock Market Fluctuations does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Self-Organized Percolation Model for Stock Market Fluctuations, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Self-Organized Percolation Model for Stock Market Fluctuations will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-422135