| dc.creator |
Zheng, DG |
|
| dc.creator |
Rodgers, GJ |
|
| dc.creator |
Hui, PM |
|
| dc.creator |
D'Hulst, R |
|
| dc.date |
2006-10-24T13:42:50Z |
|
| dc.date |
2006-10-24T13:42:50Z |
|
| dc.date |
2002 |
|
| dc.date.accessioned |
2022-05-25T13:06:44Z |
|
| dc.date.available |
2022-05-25T13:06:44Z |
|
| dc.identifier |
Physica A, 303: 176-184 |
|
| dc.identifier |
http://bura.brunel.ac.uk/handle/2438/296 |
|
| dc.identifier |
http://dx.doi.org/10.1016/S0378-4371(01)00426-5 |
|
| dc.identifier.uri |
http://localhost:8080/xmlui/handle/CUHPOERS/163646 |
|
| dc.description |
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. |
|
| dc.format |
666421 bytes |
|
| dc.format |
application/pdf |
|
| dc.language |
en |
|
| dc.relation |
Brunel University Research Archive; |
|
| dc.subject |
Non-universal |
|
| dc.subject |
Demand |
|
| dc.subject |
Feedback |
|
| dc.subject |
Fragmentation and coagulation |
|
| dc.title |
Non-universal scaling and dynamical feedback in generalized models of financial markets |
|
| dc.type |
Preprint |
|
| dc.coverage |
10 |
|