Self-organized model for information spread in financial markets

Details Self-organized model for information spread in financial markets Self-organized model for information spread in financial markets

2000-04-18

arxiv.org/abs/cond-mat/0004314v1

Eur. Phys. J. B 16, 379-385 (2000)

Physics

Condensed Matter

Statistical Mechanics

8 pages with 7 EPS figures, LaTeX2e with EPJ class; Eur. Phys. J. B, in press

Scientific paper

10.1007/s100510070240

A self-organized model with social percolation process is proposed to describe the propagations of information for different trading ways across a social system and the automatic formation of various groups within market traders. Based on the market structure of this model, some stylized observations of real market can be reproduced, including the slow decay of volatility correlations, and the fat tail distribution of price returns which is found to cross over to an exponential-type asymptotic decay in different dimensional systems.

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