Market application of the percolation model: Relative price distribution

Details Market application of the percolation model: Relative price distribution Market application of the percolation model: Relative price distribution

2001-09-15

arxiv.org/abs/cond-mat/0109280v1

Int. J. Mod. Phys. C 13, 25 (2002)

Physics

Condensed Matter

Statistical Mechanics

Int. J. Mod. Phys. C 13, Jan 2002

Scientific paper

10.1142/S0129183102002900

We study a variant of the Cont-Bouchaud model which utilizes the perco lation approach of multi-agent simulations of the stock market fluctuations. Here, instead of considering the relative price change as the difference of the total demand and total supply, we consider the relative price change to be proportiona l to the ``relative'' difference of demand and supply (the ratio of the difference in total demand and total supply to the sum of the total demand and total supply). We then study the probability distribution of the price changes.

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