AVALANCHE DYNAMICS OF THE FINANCIAL MARKET

Pei-Ling Zhou (), Chun-Xia Yang (), Tao Zhou, Min Xu, Jun Liu and Bing-Hong Wang ()
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Pei-Ling Zhou: Department of Electronic Science and Technology, University of Science and Technology of China, Hefei Anhui, 230026, People's Republic of China
Chun-Xia Yang: Department of Electronic Science and Technology, University of Science and Technology of China, Hefei Anhui, 230026, People's Republic of China
Tao Zhou: Department of Electronic Science and Technology, University of Science and Technology of China, Hefei Anhui, 230026, People's Republic of China;
Min Xu: Department of Electronic Science and Technology, University of Science and Technology of China, Hefei Anhui, 230026, People's Republic of China
Jun Liu: Department of Electronic Science and Technology, University of Science and Technology of China, Hefei Anhui, 230026, People's Republic of China
Bing-Hong Wang: Department of Modern Physics, University of Science and Technology of China, Hefei Anhui, 230026, People's Republic of China

New Mathematics and Natural Computation (NMNC), 2005, vol. 01, issue 02, 275-283

Abstract: A parsimonious percolation model for stock market is proposed, of which the avalanche dynamics agree with the real-life one as well. We have also investigated how the interaction parameterpaffects the price dynamics. Simulation results about the formation of the bullish/bearish market and corresponding avalanche taking place in the market indicate that the magnified "herd behavior" resulting from the evolution ofpmay be the origin of the observed avalanche phenomena.

Keywords: Complex system; financial market; percolation; nonlinear dynamics; avalanche (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1142/S1793005705000147

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