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Crossover in the Cont–Bouchaud percolation model for market fluctuations11Present address: Center for Polymer Studies, Boston University, Boston, MA 02215, USA

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  • Stauffer, D.
  • Penna, T.J.P.

Abstract

Monte Carlo simulations of the Cont–Bouchaud herding model for stock market traders show power-law distributions for short times and exponential truncation for longer time intervals, if they are made at the percolation threshold in two to seven dimensions.

Suggested Citation

  • Stauffer, D. & Penna, T.J.P., 1998. "Crossover in the Cont–Bouchaud percolation model for market fluctuations11Present address: Center for Polymer Studies, Boston University, Boston, MA 02215, USA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 256(1), pages 284-290.
    • Handle: RePEc:eee:phsmap:v:256:y:1998:i:1:p:284-290
    DOI: 10.1016/S0378-4371(98)00223-4
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    References listed on IDEAS

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    1. Rama Cont & Marc Potters & Jean-Philippe Bouchaud, 1997. "Scaling in stock market data: stable laws and beyond," Science & Finance (CFM) working paper archive 9705087, Science & Finance, Capital Fund Management.
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