Asymmetries, Correlations and Fat Tails in Percolation Market Model

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dc.creatorChang, I.
dc.creatorStauffer, D.
dc.creatorPandey, R. B.
dc.date2001-08-22
dc.date.accessioned2026-07-07T02:42:29Z
dc.date.available2026-07-07T02:42:29Z
dc.descriptionModifications 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.
dc.descriptionOne LaTeX file using eight figures; 13 pages
dc.identifierhttps://arxiv.org/abs/cond-mat/0108345
dc.identifierhttp://arxiv.org/abs/cond-mat/0108345
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/18161
dc.subjectStatistical Mechanics
dc.titleAsymmetries, Correlations and Fat Tails in Percolation Market Model
dc.typetext

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