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Avalanche Dynamics Of The Financial Market

Author

Listed:
  • PEI-LING ZHOU

    (Department of Electronic Science and Technology, University of Science and Technology of China, Hefei Anhui, 230026, People's Republic of China)

  • CHUN-XIA YANG

    (Department of Electronic Science and Technology, University of Science and Technology of China, Hefei Anhui, 230026, People's Republic of China)

  • TAO ZHOU

    (Department of Electronic Science and Technology, University of Science and Technology of China, Hefei Anhui, 230026, People's Republic of China;
    Department of Modern Physics, University of Science and Technology of China, Hefei Anhui, 230026, People's Republic of China)

  • MIN XU

    (Department of Electronic Science and Technology, University of Science and Technology of China, Hefei Anhui, 230026, People's Republic of China)

  • JUN LIU

    (Department of Electronic Science and Technology, University of Science and Technology of China, Hefei Anhui, 230026, People's Republic of China)

  • BING-HONG WANG

    (Department of Modern Physics, University of Science and Technology of China, Hefei Anhui, 230026, People's Republic of China)

Abstract

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 parameterpaffects 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 ofpmay be the origin of the observed avalanche phenomena.

Suggested Citation

  • Pei-Ling Zhou & Chun-Xia Yang & Tao Zhou & Min Xu & Jun Liu & Bing-Hong Wang, 2005. "Avalanche Dynamics Of The Financial Market," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., vol. 1(02), pages 275-283.
    • Handle: RePEc:wsi:nmncxx:v:01:y:2005:i:02:n:s1793005705000147
    DOI: 10.1142/S1793005705000147
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    References listed on IDEAS

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    1. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871, September.
    2. Levy, Haim & Levy, Moshe & Solomon, Sorin, 2000. "Microscopic Simulation of Financial Markets," Elsevier Monographs, Elsevier, edition 1, number 9780124458901.
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