Volatility cluster and herding

DOI10.1016/S0378-4371(02)01810-1zbMath1017.91027arXivcond-mat/0207280MaRDI QIDQ1867949

Friedrich Wagner

Publication date: 23 April 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0207280

zbMATH Keywords

waiting time distributionstock markets

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (5)

Volatility flocking by Cucker-Smale mechanism in financial markets ⋮ Financial power laws: empirical evidence, models, and mechanisms ⋮ A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY ⋮ MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL ⋮ Estimation of agent-based models: The case of an asymmetric herding model

Cites Work

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• PERCOLATION MODELS OF FINANCIAL MARKET DYNAMICS
• AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS
• Dynamical models of stock market exchanges: From microscopic determinism to macroscopic randomness

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