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Sharp peaks in the percolation model for stock markets

Author

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  • Stauffer, D.
  • Jan, N.

Abstract

The empirically observed asymmetry of sharp peaks and flat troughs in stock market fluctuations is recovered by a feedback mechanism in the Cont–Bouchaud model, changing the trader activity proportionally to the price change.

Suggested Citation

  • Stauffer, D. & Jan, N., 2000. "Sharp peaks in the percolation model for stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 277(1), pages 215-219.
    • Handle: RePEc:eee:phsmap:v:277:y:2000:i:1:p:215-219
    DOI: 10.1016/S0378-4371(99)00587-7
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    Citations

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    Cited by:

    1. Zhang, Cen & Schmöcker, Jan-Dirk & Kuwahara, Masahiro & Nakamura, Toshiyuki & Uno, Nobuhiro, 2020. "A diffusion model for estimating adoption patterns of a one-way carsharing system in its initial years," Transportation Research Part A: Policy and Practice, Elsevier, vol. 136(C), pages 135-150.
    2. Xenikos, D.G. & Constantoudis, V., 2023. "Weibull dynamics and power-law diffusion of epidemics in small world 2D networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 617(C).
    3. Kolumbus, Yoav & Solomon, Sorin, 2021. "On the influence maximization problem and the percolation phase transition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
    4. Jiang, Yonglei & Liao, Feixiong & Jin, Lianjie, 2021. "Effects of locational accessibility on firm diffusion characteristics: The case of Sino-Europe Economic Corridor," Transport Policy, Elsevier, vol. 105(C), pages 80-93.
    5. Seung Ki Baek & Xavier Durang & Mina Kim, 2013. "Faster Is More Different: Mean-Field Dynamics of Innovation Diffusion," PLOS ONE, Public Library of Science, vol. 8(7), pages 1-6, July.
    6. Noemi Schmitt & Ivonne Schwartz & Frank Westerhoff, 2022. "Heterogeneous speculators and stock market dynamics: a simple agent-based computational model," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1263-1282, October.
    7. Castiglione, Filippo & Stauffer, Dietrich, 2001. "Multi-scaling in the Cont–Bouchaud microscopic stock market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(3), pages 531-538.
    8. Gross, Bnaya & Bonamassa, Ivan & Havlin, Shlomo, 2021. "Interdependent transport via percolation backbones in spatial networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
    9. Sebastiano A. Delre & Wander Jager & Marco A. Janssen, 2007. "Diffusion dynamics in small-world networks with heterogeneous consumers," Computational and Mathematical Organization Theory, Springer, vol. 13(2), pages 185-202, June.
    10. Konstantinos Petridis & Nikolaos E. Petridis, 2022. "Diffusion of Innovations in Middle Eastern versus Western Markets: A Mathematical Computation Cellular Automata Simulation Model," Operational Research, Springer, vol. 22(2), pages 1597-1616, April.
    11. Yang, ChunXia & Hu, Sen & Xia, BingYing, 2012. "The endogenous dynamics of financial markets: Interaction and information dissemination," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3513-3525.

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