Self-organized criticality in a network of economic agents with finite consumption

Jo\~ao P. da Cruz and Pedro G. Lind

Papers from arXiv.org

Abstract: We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude. The model considers a collection of economical agents which establish trade connections among them according to basic economical principles properly translated into physical properties and interaction. With our model we are able to reproduce the evolution of macroscopic quantities (indices) and to correctly retrieve the common exponent value characterizing several indices in financial markets, relating it to the underlying topology of connections.

Date: 2010-09, Revised 2012-12
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Published in Physica A 391 1445-1452 (2012)

Downloads: (external link)
http://arxiv.org/pdf/1009.5830 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1009.5830

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().