AVALANCHE DYNAMICS OF THE FINANCIAL MARKET

被引：11
|
作者：
Zhou, Pei-Ling [1 ]
Yang, Chun-Xia [1 ]
Zhou, Tao [1 ,2 ]
Xu, Min [1 ]
Liu, Jun [1 ]
Wang, Bing-Hong [2 ]
机构：
[1] Univ Sci & Technol China, Dept Elect Sci & Technol, Hefei 230026, Anhui, Peoples R China
[2] Univ Sci & Technol China, Dept Modern Phys, Hefei 230026, Anhui, Peoples R China
来源：
NEW MATHEMATICS AND NATURAL COMPUTATION | 2005年 / 1卷 / 02期
基金：
美国国家科学基金会;
关键词：
Complex system; financial market; percolation; nonlinear dynamics; avalanche;
D O I：
10.1142/S1793005705000147
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
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 parameter p affects 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 of p may be the origin of the observed avalanche phenomena.
引用
收藏
页码：275 / 283
页数：9
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