Amplified imitation in percolation model of stock market

D. Makowiec, P. Gnaciński and W. Miklaszewski

Physica A: Statistical Mechanics and its Applications, 2004, vol. 331, issue 1, 269-278

Abstract: The herd behavior of the Cont–Bouchaud model is amplified by allowing clusters to copy decisions of some other cluster in the next time step. The results of the model are compared to data from the Warsaw Stock Exchange. It follows that the mechanism of the amplified imitation could be responsible for the sell decision on a poorly developed, emergent market.

Keywords: Cont–Bouchaud stock market model; Percolation; Monte Carlo simulations; Fluctuation distribution; Emergent stock markets (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:331:y:2004:i:1:p:269-278

DOI: 10.1016/j.physa.2003.09.014

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