Crossover in the Cont–Bouchaud percolation model for market fluctuations11Present address: Center for Polymer Studies, Boston University, Boston, MA 02215, USA

D. Stauffer and T.J.P. Penna

Physica A: Statistical Mechanics and its Applications, 1998, vol. 256, issue 1, 284-290

Abstract: Monte Carlo simulations of the Cont–Bouchaud herding model for stock market traders show power-law distributions for short times and exponential truncation for longer time intervals, if they are made at the percolation threshold in two to seven dimensions.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:256:y:1998:i:1:p:284-290

DOI: 10.1016/S0378-4371(98)00223-4

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