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Amplified imitation in percolation model of stock market

Author

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  • Makowiec, D.
  • Gnaciński, P.
  • Miklaszewski, W.

Abstract

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 the 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.

Suggested Citation

  • Makowiec, D. & Gnaciński, P. & Miklaszewski, W., 2004. "Amplified imitation in percolation model of stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 331(1), pages 269-278.
    • Handle: RePEc:eee:phsmap:v:331:y:2004:i:1:p:269-278
    DOI: 10.1016/j.physa.2003.09.014
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Xiao, Di & Wang, Jun, 2012. "Modeling stock price dynamics by continuum percolation system and relevant complex systems analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4827-4838.
    2. Ding, Li & Guan, Zhi-Hong, 2008. "Modeling wireless sensor networks using random graph theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 3008-3016.
    3. Yang, ChunXia & Hu, Sen & Xia, BingYing, 2012. "The endogenous dynamics of financial markets: Interaction and information dissemination," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3513-3525.
    4. Lux, Thomas & Alfarano, Simone, 2016. "Financial power laws: Empirical evidence, models, and mechanisms," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 3-18.

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