Fundamental judgement in Cont–Bouchaud Herding model of market fluctuations

Iksoo Chang and Dietrich Stauffer

Physica A: Statistical Mechanics and its Applications, 1999, vol. 264, issue 1, 294-298

Abstract: The percolation model of Cont and Bouchaud for the herding of noise traders is generalized to take into account also the fundamental value of the traded object, not only the behaviour of other traders. Monte Carlo simulations with 10012 and 77 traders give no drastic change in the histogram of price jumps and in the decay of the volatility. The price itself, however, stays close to its fundamental value instead of diffusing away from it.

Date: 1999
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:264:y:1999:i:1:p:294-298

DOI: 10.1016/S0378-4371(98)00441-5

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