Market Fluctuations: multiplicative and percolation models, size effects and predictions
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We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative noise, percolation models to describe the interaction between traders and hierarchical cascade models to unravel the possible correlation accross time scales, including the log-periodic signatures associated to financial crashes. The main empirical knowledge is summarized and some key empirical tests are presented.
28 pages, 6 figures, to be published in the Proceedings of the Workshop `Facets of Universality: Climate, Biodynamics and Stock Markets' at Giessen University, June 1999, A. Bunde and H.-J. Schellnhuber eds
28 pages, 6 figures, to be published in the Proceedings of the Workshop `Facets of Universality: Climate, Biodynamics and Stock Markets' at Giessen University, June 1999, A. Bunde and H.-J. Schellnhuber eds