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Market Fluctuations: multiplicative and percolation models, size effects and predictions

Author

Listed:
  • D. Sornette

    (CNRS, Univ. Nice and UCLA)

  • D. Stauffer

    (Cologne University)

  • H. Takayasu

    (Sony CSL)

Abstract

We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative noise, percolation models to describe the interaction between traders and hierarchical cascade models to unravel the possible correlation accross time scales, including the log-periodic signatures associated to financial crashes. The main empirical knowledge is summarized and some key empirical tests are presented.

Suggested Citation

  • D. Sornette & D. Stauffer & H. Takayasu, 1999. "Market Fluctuations: multiplicative and percolation models, size effects and predictions," Papers cond-mat/9909439, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/9909439
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    Cited by:

    1. D. Sornette, 2000. ""Slimming" of power law tails by increasing market returns," Papers cond-mat/0010112, arXiv.org, revised Sep 2001.
    2. Maslov, Sergei & Mills, Mark, 2001. "Price fluctuations from the order book perspective—empirical facts and a simple model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 234-246.

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