Self-organized percolation model for stock market fluctuations
In the Cont–Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing the concentration controlling each cluster connectivity artificially at or close to the critical value, we propose that clusters shatter and aggregate continuously as the concentration evolves randomly, reflecting the incessant time evolution of groups of opinions and market moods. By the mechanism of “sweeping of an instability” [Sornette, J. Phys. I 4, 209(1994)], this market model spontaneously exhibits reasonable power-law statistics for the distribution of price changes and accounts for the other important stylized facts of stock market price fluctuations.
Volume (Year): 271 (1999)
Issue (Month): 3 ()
|Contact details of provider:|| Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/|
When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:271:y:1999:i:3:p:496-506. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.