|
| | | | |
| | | |
| Stat |
Members: 3645
Articles: 2'501'711
Articles rated: 2609
19 April 2024 |
|
| | | | |
|
Article forum
| |
|
|
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: | Forum | Review | PDF | Favorites | |
|
|
No message found in this article forum.
You have a question or message about this article?
Ask the community and write a message in the forum.
If you want to rate this article, please use the review section..
To add a message in the forum, you need to login or register first. (free): registration page
|
| |
|
|
|
|
News, job offers and information for researchers and scientists:
| |
REGISTER