Please use this identifier to cite or link to this item:
|Title:||Exact solution of a model for crowding and information transmission in financial markets|
|Keywords:||Statistical mechanics;Soft condensed matter;Statistics;Market organization;Herding;Economy|
|Citation:||International Journal of Theoretical and Applied Finance 3: 609-616|
|Abstract:||An exact solution is presented to a model that mimics the crowding effect in financial markets which arises when groups of agents share information. We show that the size distribution of groups of agents has a power law tail with an exponential cut-off. As the size of these groups determines the supply and demand balance, this implies heavy tails in the distribution of price variation. The moments of the distribution are calculated, as well as the kurtosis. We find that the kurtosis is large for all model parameter values and that the model is not self-organizing.|
|Appears in Collections:||Mathematical Physics|
Dept of Mathematics Research Papers
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.