Time-reversal asymmetry in Cont-Bouchaud stock market model

DOI10.1016/S0378-4371(01)00270-9zbMath0972.91053arXivcond-mat/0105573OpenAlexW2051446108MaRDI QIDQ5945410

Dietrich Stauffer, Iksoo Chang

Publication date: 10 October 2001

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0105573

zbMATH Keywords

percolation model

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (2)

Dynamics of a binary option market with exogenous information and price sensitivity ⋮ ASYMMETRIES, CORRELATIONS AND FAT TAILS IN PERCOLATION MARKET MODEL

Cites Work

• PERCOLATION MODELS OF FINANCIAL MARKET DYNAMICS
• Multifractal returns and hierarchical portfolio theory
• Unnamed Item

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