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|Title:||Non-universal scaling and dynamical feedback in generalized models of financial markets|
|Keywords:||Non-universal;Demand;Feedback;Fragmentation and coagulation|
|Citation:||Physica A, 303: 176-184|
|Abstract:||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.|
|Appears in Collections:||Mathematical Physics|
Dept of Mathematics Research Papers
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