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Market Application Of The Percolation Model: Relative Price Distribution

Author

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  • ANIRBAN CHAKRABORTI

    (Saha Institute of Nuclear Physics, 1/AF Bidhan Nagar, Kolkata-700 064, India;
    Institute for Theoretical Physics, Cologne University, 50923 Cologne, Germany)

Abstract

We study a variant of the Cont–Bouchaud model, which utilizes the percolation approach of multi-agent simulations of the stock market fluctuations. Here, instead of considering the relative price change as the difference of the total demand and total supply, we consider the relative price change to be proportional to the "relative" difference of demand and supply (the ratio of the difference in total demand and total supply to the sum of the total demand and total supply). We then study the probability distribution of the price changes.

Suggested Citation

  • Anirban Chakraborti, 2002. "Market Application Of The Percolation Model: Relative Price Distribution," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 25-29.
    • Handle: RePEc:wsi:ijmpcx:v:13:y:2002:i:01:n:s0129183102002900
    DOI: 10.1142/S0129183102002900
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    Cited by:

    1. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
    2. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001. "Microscopic Models of Financial Markets," Papers cond-mat/0110354, arXiv.org.

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