Asymmetries, Correlations and Fat Tails in Percolation Market Model

Details Asymmetries, Correlations and Fat Tails in Percolation Market Model Asymmetries, Correlations and Fat Tails in Percolation Market Model

2001-08-22

arxiv.org/abs/cond-mat/0108345v1

Physics

Condensed Matter

Statistical Mechanics

One LaTeX file using eight figures; 13 pages

Scientific paper

Modifications of the Cont-Bouchaud percolation model for price fluctuations give an asymmetry for time-reversal, an asymmetry between high and low prices, volatility clustering, effective multifractality, correlations between volatility and traded volume, and a power law tail with exponent near 3 for the cumulative distribution of price changes. Combining them together still gives the same power law. Using Ising-correlated percolation does not change these results. Different modifications give log-periodic oscillations before a crash, arising from nonlinear feedback between random fluctuations.

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