Growth and coagulation in a herding model

S. Rawal and G.J. Rodgers

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 50-55

Abstract: We discuss various existing models which mimic the herding effect in financial markets and introduce a new model of herding which incorporates both growth and coagulation. In this model, at each time step either (i) with probability p the system grows through the introduction of a new agent or (ii) with probability q=1-p two groups are selected at random and coagulate. We show that the size distribution of these groups has a power law tail with an exponential cut-off. A variant of our basic model is also discussed where rates are proportional to the size of a group.

Keywords: Herding; Growth; Coagulation; Power-laws (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:50-55

DOI: 10.1016/j.physa.2004.06.086

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