A Model of Synchronization for Self-Organized Crowding Behavior
General Finance
2016-12-06 v1 Risk Management
Abstract
This paper proposes a general model for synchronized crowding behavior. An order parameter is introduced to quantify the level of synchronization which is shown a function of percentage of agents in reactive state. Further, synchronization is shown to be driven by the most active agents with the highest volatility. A tipping point is identified when crowd becomes self-amplifying and unstable. By applying this model, financial bubbles, market momentum and volatility patterns are simulated.
Cite
@article{arxiv.1612.01132,
title = {A Model of Synchronization for Self-Organized Crowding Behavior},
author = {Jake J. Xia},
journal= {arXiv preprint arXiv:1612.01132},
year = {2016}
}
Comments
21 pages, 6 figures, revised from 2006 working paper