Sharp peaks in the percolation model for stock markets

D. Stauffer and N. Jan

Physica A: Statistical Mechanics and its Applications, 2000, vol. 277, issue 1, 215-219

Abstract: The empirically observed asymmetry of sharp peaks and flat troughs in stock market fluctuations is recovered by a feedback mechanism in the Cont–Bouchaud model, changing the trader activity proportionally to the price change.

Keywords: Econophysics; Cont–Bouchaud model; Sornette–Roehner asymmetry; Monte Carlo simulation; Feedback (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:277:y:2000:i:1:p:215-219

DOI: 10.1016/S0378-4371(99)00587-7

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