Brunel University Research Archive (BURA) >
Research Areas >
Mathematical Physics >

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/296

Title: Non-universal scaling and dynamical feedback in generalized models of financial markets
Authors: Zheng, DG
Rodgers, GJ
Hui, PM
D'Hulst, R
Keywords: Non-universal
Demand
Feedback
Fragmentation and coagulation
Publication Date: 2002
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.
URI: http://bura.brunel.ac.uk/handle/2438/296
DOI: http://dx.doi.org/10.1016/S0378-4371(01)00426-5
Appears in Collections:School of Information Systems, Computing and Mathematics Research Papers
Mathematical Physics
Mathematical Science

Files in This Item:

File Description SizeFormat
Preprint.pdf650.8 kBAdobe PDFView/Open

Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.

 


Library (c) Brunel University.    Powered By: DSpace
Send us your
Feedback. Last Updated: September 14, 2010.
Managed by:
Hassan Bhuiyan