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

页码：275 / 283

页数：9

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