Fundamental judgement in Cont-Bouchaud Herding model of market fluctuations

Iksoo Chang; Dietrich Stauffer

doi:10.1016/S0378-4371(98)00441-5

Fundamental judgement in Cont-Bouchaud Herding model of market fluctuations

Iksoo Chang, Dietrich Stauffer

Department of Brain Sciences

Pusan National University

Research output: Contribution to journal › Article › peer-review

14 Scopus citations

Abstract

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 1001² and 7⁷ 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.

Original language	English
Pages (from-to)	294-298
Number of pages	5
Journal	Physica A: Statistical Mechanics and its Applications
Volume	264
Issue number	1-2
DOIs	https://doi.org/10.1016/S0378-4371(98)00441-5
State	Published - 15 Feb 1999

Bibliographical note

Funding Information:
This collaboration was supported by a KOSEF-DFG grant (985-0200-004-2); we thank HLRZ Jülich for time on their Cray-T3E.

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title = "Fundamental judgement in Cont-Bouchaud Herding model of market fluctuations",

abstract = "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 10012 and 77 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.",

author = "Iksoo Chang and Dietrich Stauffer",

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N2 - 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 10012 and 77 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.

AB - 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 10012 and 77 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.

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Fundamental judgement in Cont-Bouchaud Herding model of market fluctuations

Abstract

Bibliographical note

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