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04 September 2010 |
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Transmission of Information and Herd Behavior: an Application to Financial Markets | | Victor M. Eguiluz
; Martin G. Zimmermann
; | | Rating: | Members:  3.41/5 (1 reader) | Visitors: 4/5 (1 visitor) | | Date: |
4 Aug 1999 | | Journal: | Phys. Rev. Lett. 85, 5659-5662 (2000) | | Subject: | Condensed Matter; Adaptation and Self-Organizing Systems | cond-mat nlin.AO | | Affiliation: | IMEDEA, Palma de Mallorca, Spain | | Abstract: | We propose a model for stochastic formation of opinion clusters, modelled by an evolving network, and herd behaviour to account for the observed fat-tail distribution in returns of financial-price data. The only parameter of the model is h, the rate of information dispersion per trade, which is a measure of herding behavior. For h below a critical h* the system displays a power-law distribution of the returns with exponential cut-off. However for h>h* an increase in the probability of large returns is found, and may be associated to the occurrence of large crashes. | | Source: | arXiv, cond-mat/9908069 | | Other source: | [GID 103127] pmid11136071 | | Services: | Article forum | Review this article | Full Text PDF | Add to favorites | 
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1 review found:
(To access fulltext of a review, click on titles below.)
1. Science-advisor.net review 05090022 (1 reader) 
Rate this comment. | | | | Review title: |
Origin of the fat tail | | Reviewer: |
reviewer22 | | Date: |
26 September 2005 at 21:43 GMT. | | Comment: | The authors introduce the dynamical version of the Cont and Bouchaud model. This model simulates how agents follow the same information when [...] |
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