AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS

DOI10.1142/S0129183199000930zbMath1058.91542MaRDI QIDQ4502825

Giulia Iori

Publication date: 4 January 2001

Published in: International Journal of Modern Physics C (Search for Journal in Brave)

zbMATH Keywords

Complex systemsStock Market modelsVolatility clustering

Mathematics Subject Classification ID

Equilibrium statistical mechanics (82B99)

Related Items (11)

Equilibrium pricing in an order book environment: case study for a spin model ⋮ Herding behaviour and volatility clustering in financial markets ⋮ Uncovering the non-equilibrium stationary properties in sparse Boolean networks ⋮ Mechanism of investor behavior propagation in stock market ⋮ MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING ON REGULAR AND SMALL-WORLD LATTICES ⋮ MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING AND HETEROGENEOUS AGENTS ⋮ Agent-based simulation of a financial market ⋮ Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents ⋮ Stochastic resonance as a model for financial market crashes and bubbles ⋮ ``Slimming of power-law tails by increasing market returns ⋮ Volatility cluster and herding

Cites Work

• Long-range dependence in the conditional variance of stock returns
• Generalized autoregressive conditional heteroscedasticity
• MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• The Price Variability-Volume Relationship on Speculative Markets
• On the stability of the mean-field spin glass broken phase under non-Hamiltonian perturbations

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