Fundamental judgement in Cont-Bouchaud herding model of market fluctuations

被引：24

作者：

Chang, I ^{[1
]}

Stauffer, D ^{[1
]}

机构：

[1] Pusan Natl Univ, Dept Phys, Pusan 609735, South Korea

来源：

PHYSICA A | 1999年 / 264卷 / 1-2期

关键词：

D O I：

10.1016/S0378-4371(98)00441-5

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

The percolation model of Cont and Bouchaud for the herding of noise traders is generalized to take into account also the fundamental value of the traded object, not only the behaviour of other traders. Monte Carlo simulations with 1001(2) and 7(7) traders give no drastic change in the histogram of price jumps and in the decay of the volatility. The price itself, however, stays close to its fundamental value instead of diffusing away from it. (C) 1999 Elsevier Science B.V. All rights reserved.

引用

页码：294 / 298

页数：5

共 15 条

[1] Price variations in a stock market with many agents [J].