A generalized dynamic herding model with feed-back interactions

B. Zheng, F. Ren, S. Trimper and D.F. Zheng

Physica A: Statistical Mechanics and its Applications, 2004, vol. 343, issue C, 653-661

Abstract: A dynamic feed-back interaction is introduced to the Eguiluz–Zimmermann model (Phys. Rev. Lett. 85 (2000) 5659). In application to financial dynamics, transmission of information at time t′ is supposed to depend on the variation of the financial index at t′-1. The generated time series is strongly correlated in time at criticality. Both static and dynamic behavior are investigated.

Keywords: Nonequilibrium kinetics; Financial dynamics; Critical dynamics (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:343:y:2004:i:c:p:653-661

DOI: 10.1016/j.physa.2004.06.135

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