IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v05y2002i06ns0219024902001584.html
   My bibliography  Save this article

Asymmetries, Correlations And Fat Tails In Percolation Market Model

Author

Listed:
  • IKSOO CHANG

    (Department of Physics, Pusan National University, Busan 609-735, South Korea)

  • DIETRICH STAUFFER

    (Institute for Theoretical Physics, Cologne University, D-50923 Köln, Euroland;
    Department of Physics, Pusan National University, Busan 609-735, South Korea;
    Department of Physics and Astronomy, University of Southern Mississippi, Hattiesburg MS39406-5046, USA)

  • RAS B. PANDEY

    (Department of Physics and Astronomy, University of Southern Mississippi, Hattiesburg MS39406-5046, USA)

Abstract

Modifications of the Cont-Bouchaud percolation model for price fluctuations give an asymmetry for time-reversal, an asymmetry between high and low prices, volatility clustering, effective multifractality, correlations between volatility and traded volume, and a power law tail with exponent near 3 for the cumulative distribution function of price changes. Combining them together still gives the same power law. Using Ising-correlated percolation does not change these results. Different modifications give log-periodic oscillations before a crash, arising from nonlinear feedback between random fluctuations.

Suggested Citation

  • Iksoo Chang & Dietrich Stauffer & Ras B. Pandey, 2002. "Asymmetries, Correlations And Fat Tails In Percolation Market Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(06), pages 585-597.
    • Handle: RePEc:wsi:ijtafx:v:05:y:2002:i:06:n:s0219024902001584
    DOI: 10.1142/S0219024902001584
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024902001584
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219024902001584?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mike, Szabolcs & Farmer, J. Doyne, 2008. "An empirical behavioral model of liquidity and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 200-234, January.
    2. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001. "Microscopic Models of Financial Markets," Papers cond-mat/0110354, arXiv.org.
    3. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
    4. Szabolcs Mike & J. Doyne Farmer, 2005. "An empirical behavioral model of price formation," Papers physics/0509194, arXiv.org, revised Oct 2005.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:05:y:2002:i:06:n:s0219024902001584. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.