Non-universal scaling and dynamical feedback in generalized models of financial markets
Disordered Systems and Neural Networks
2009-11-07 v1
Abstract
We study self-organized models for information transmission and herd behavior in financial markets. Existing models are generalized to take into account the effect of size-dependent fragmentation and coagulation probabilities of groups of agents and to include a demand process. Non-universal scaling with a tunable exponent for the group size distribution is found in the resulting system. We also show that the fragmentation and coagulation probabilities of groups of agents have a strong influence on the average investment rate of the system.
Cite
@article{arxiv.cond-mat/0108399,
title = {Non-universal scaling and dynamical feedback in generalized models of financial markets},
author = {Dafang Zheng and G. J. Rodgers and P. M. Hui and R. D'Hulst},
journal= {arXiv preprint arXiv:cond-mat/0108399},
year = {2009}
}
Comments
10pages, 3figures