Asymmetries, Correlations and Fat Tails in Percolation Market Model
Statistical Mechanics
2007-05-23 v1
Abstract
Modifications of the Cont-Bouchaud percolation model for price fluctuations give an asymmetry for time-reversal, an asymmetry between high and low prices, volatility clustering, effective multifractality, correlations between volatility and traded volume, and a power law tail with exponent near 3 for the cumulative distribution of price changes. Combining them together still gives the same power law. Using Ising-correlated percolation does not change these results. Different modifications give log-periodic oscillations before a crash, arising from nonlinear feedback between random fluctuations.
Cite
@article{arxiv.cond-mat/0108345,
title = {Asymmetries, Correlations and Fat Tails in Percolation Market Model},
author = {I. Chang and D. Stauffer and R. B. Pandey},
journal= {arXiv preprint arXiv:cond-mat/0108345},
year = {2007}
}
Comments
One LaTeX file using eight figures; 13 pages