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Crossover To Gaussian Behavior In Herding Market Models

Author

Listed:
  • L. KULLMANN

    (Department of Theoretical Physics, Budapest University of Technology and Economics, Budafoki út 8, H-1111, Budapest, Hungary)

  • J. KERTÉSZ

    (Department of Theoretical Physics, Budapest University of Technology and Economics, Budafoki út 8, H-1111, Budapest, Hungary;
    Laboratory of Computational Engineering, Helsinki University of Technology, P. O. Box 9400, FIN-02015 HUT, Finland)

Abstract

We have analyzed possible mechanisms of the crossover to the Gaussian distribution of the logarithmic returns in the Cont–Bouchaud herding model of the stock market. Either the underlying cluster distribution is not in the Lévy attraction regime, or a cut-off effect is responsible for the crossover. The cut-off can be due to the finite size of the system, where clusters are created. If such finite size effects are responsible for the crossover, a delicate interplay between the size dependence of the deviation from the Gaussian and of the number of values to be summed up in one step may result in a size-independent crossover value of the activity. It is shown that this is the case for percolation clusters in spatial dimensions from 2 to 6. A further origin of the cut-off can be the limited number of clusters taken into account.

Suggested Citation

  • L. Kullmann & J. Kertész, 2001. "Crossover To Gaussian Behavior In Herding Market Models," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 12(08), pages 1211-1215.
    • Handle: RePEc:wsi:ijmpcx:v:12:y:2001:i:08:n:s0129183101002449
    DOI: 10.1142/S0129183101002449
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    Cited by:

    1. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001. "Microscopic Models of Financial Markets," Papers cond-mat/0110354, arXiv.org.

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