IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v303y2002i1p251-260.html
   My bibliography  Save this article

Modelling widely scattered states in ‘synchronized’ traffic flow and possible relevance for stock market dynamics

Author

Listed:
  • Helbing, Dirk
  • Batic, Davide
  • Schönhof, Martin
  • Treiber, Martin

Abstract

Traffic flow at low densities (free traffic) is characterized by a quasi-one-dimensional relation between traffic flow and vehicle density, while no such fundamental diagram exists for ‘synchronized’ congested traffic flow. Instead, a two-dimensional area of widely scattered flow-density data is observed as a consequence of a complex traffic dynamics. For an explanation of this phenomenon and transitions between the different traffic phases, we propose a new class of molecular-dynamics like microscopic traffic models based on times to collisions and discuss the properties by means of analytical arguments. Similar models may help to understand the laminar and turbulent phases in the dynamics of stock markets as well as the transitions among them.

Suggested Citation

  • Helbing, Dirk & Batic, Davide & Schönhof, Martin & Treiber, Martin, 2002. "Modelling widely scattered states in ‘synchronized’ traffic flow and possible relevance for stock market dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 303(1), pages 251-260.
  • Handle: RePEc:eee:phsmap:v:303:y:2002:i:1:p:251-260
    DOI: 10.1016/S0378-4371(01)00483-6
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437101004836
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

    File URL: https://libkey.io/10.1016/S0378-4371(01)00483-6?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Gipps, P.G., 1981. "A behavioural car-following model for computer simulation," Transportation Research Part B: Methodological, Elsevier, vol. 15(2), pages 105-111, April.
    2. Wagner, Christoph, 1998. "Asymptotic solutions for a multi-anticipative car-following model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 260(1), pages 218-224.
    3. Thomas Lux & Michele Marchesi, 1999. "Scaling and criticality in a stochastic multi-agent model of a financial market," Nature, Nature, vol. 397(6719), pages 498-500, February.
    4. Nelson, Paul & Sopasakis, Alexandros, 1998. "The prigogine-herman kinetic model predicts widely scattered traffic flow data at high concentrations," Transportation Research Part B: Methodological, Elsevier, vol. 32(8), pages 589-604, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. He, Shuyan & Guan, Wei & Song, Liying, 2010. "Explaining traffic patterns at on-ramp vicinity by a driver perception model in the framework of three-phase traffic theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(4), pages 825-836.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Yeo, Hwasoo, 2008. "Asymmetric Microscopic Driving Behavior Theory," University of California Transportation Center, Working Papers qt1tn1m968, University of California Transportation Center.
    2. Aoki, Masanao, 2002. "Open models of share markets with two dominant types of participants," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 199-216, October.
    3. Siddiqi, Hammad, 2007. "Rational Interacting Agents and Volatility Clustering: A New Approach," MPRA Paper 2984, University Library of Munich, Germany.
    4. Kaijian He & Rui Zha & Jun Wu & Kin Keung Lai, 2016. "Multivariate EMD-Based Modeling and Forecasting of Crude Oil Price," Sustainability, MDPI, vol. 8(4), pages 1-11, April.
    5. Hommes, Cars & Huang, Hai & Wang, Duo, 2005. "A robust rational route to randomness in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 29(6), pages 1043-1072, June.
    6. Youwei Li & Xue-Zhong He, 2005. "Long Memory, Heterogeneity, and Trend Chasing," Computing in Economics and Finance 2005 113, Society for Computational Economics.
    7. Brock, William A. & Hommes, Cars H. & Wagener, Florian O. O., 2005. "Evolutionary dynamics in markets with many trader types," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 7-42, February.
    8. Klein, A. & Urbig, D. & Kirn, S., 2008. "Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach," MPRA Paper 14433, University Library of Munich, Germany.
    9. Paulo Ferreira & Éder J.A.L. Pereira & Hernane B.B. Pereira, 2020. "From Big Data to Econophysics and Its Use to Explain Complex Phenomena," JRFM, MDPI, vol. 13(7), pages 1-10, July.
    10. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001. "Microscopic Models of Financial Markets," Papers cond-mat/0110354, arXiv.org.
    11. Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014. "Communication impacting financial markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00982959, HAL.
    12. Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2000. "Bifurcation Routes to Volatility Clustering," CeNDEF Working Papers 00-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    13. Li, Xiaopeng & Wang, Xin & Ouyang, Yanfeng, 2012. "Prediction and field validation of traffic oscillation propagation under nonlinear car-following laws," Transportation Research Part B: Methodological, Elsevier, vol. 46(3), pages 409-423.
    14. Osorio, Carolina & Punzo, Vincenzo, 2019. "Efficient calibration of microscopic car-following models for large-scale stochastic network simulators," Transportation Research Part B: Methodological, Elsevier, vol. 119(C), pages 156-173.
    15. David Vidal-Tomás & Simone Alfarano, 2020. "An agent-based early warning indicator for financial market instability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 49-87, January.
    16. Liu, Qian & Li, Huajiao & Liu, Xueyong & Jiang, Meihui, 2018. "Information networks in the stock market based on the distance of the multi-attribute dimensions between listed companies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 505-513.
    17. He, Xue-Zhong & Li, Kai & Santi, Caterina & Shi, Lei, 2022. "Social interaction, volatility clustering, and momentum," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 125-149.
    18. Daniele Giachini, 2018. "Rationality and Asset Prices under Belief Heterogeneity," LEM Papers Series 2018/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    19. Ichiki, Shingo & Nishinari, Katsuhiro, 2015. "Simple stochastic order-book model of swarm behavior in continuous double auction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 420(C), pages 304-314.
    20. Sheri M. Markose, 2005. "Computability and Evolutionary Complexity: Markets as Complex Adaptive Systems (CAS)," Economic Journal, Royal Economic Society, vol. 115(504), pages 159-192, 06.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:303:y:2002:i:1:p:251-260. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.