On modeling of inefficient market

D. Makowiec

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 36-40

Abstract: The percolation Cont–Bouchaud model of a stock market is modified by allowing investors to react to the market trend either fundamentally or imitative. The proposition is motivated by properties observed on Warsaw Stock Exchange.

Keywords: Daily-return distribution; Emergent stock markets; Percolation model of stock market (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:36-40

DOI: 10.1016/j.physa.2004.06.084

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