Multi-scaling in the Cont-Bouchaud microscopic stock market model

DOI10.1016/S0378-4371(01)00365-XzbMath0974.91030OpenAlexW2085667069MaRDI QIDQ5947856

Dietrich Stauffer, Filippo Castiglione

Publication date: 23 October 2001

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

Full work available at URL: https://doi.org/10.1016/s0378-4371(01)00365-x

zbMATH Keywords

percolation modelprice time-series

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35)

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

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• Antipersistent Markov behavior in foreign exchange markets
• MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Multifractal returns and hierarchical portfolio theory
• Empirical properties of asset returns: stylized facts and statistical issues

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