Market Fluctuations: multiplicative and percolation models, size effects and predictions

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dc.creatorSornette, D.
dc.creatorStauffer, D.
dc.creatorTakayasu, H.
dc.date1999-09-30
dc.date.accessioned2026-07-07T12:07:11Z
dc.date.available2026-07-07T12:07:11Z
dc.descriptionWe 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.
dc.description28 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
dc.identifierhttps://arxiv.org/abs/cond-mat/9909439
dc.identifierhttp://arxiv.org/abs/cond-mat/9909439
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208883
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleMarket Fluctuations: multiplicative and percolation models, size effects and predictions
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