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Fundamental judgement in Cont–Bouchaud Herding model of market fluctuations


  • Chang, Iksoo
  • Stauffer, Dietrich


The percolation model of Cont and Bouchaud for the herding of noise traders is generalized to take into account also the fundamental value of the traded object, not only the behaviour of other traders. Monte Carlo simulations with 10012 and 77 traders give no drastic change in the histogram of price jumps and in the decay of the volatility. The price itself, however, stays close to its fundamental value instead of diffusing away from it.

Suggested Citation

  • Chang, Iksoo & Stauffer, Dietrich, 1999. "Fundamental judgement in Cont–Bouchaud Herding model of market fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 264(1), pages 294-298.
  • Handle: RePEc:eee:phsmap:v:264:y:1999:i:1:p:294-298 DOI: 10.1016/S0378-4371(98)00441-5

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    References listed on IDEAS

    1. Alves, S.R. & Kremer, G.M., 1990. "Light scattering from density fluctuations in dense monatomic gases," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 164(3), pages 759-771.
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    Cited by:

    1. 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.

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