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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/430

Title: Transition from coherence to bistability in a model of financial markets
Authors: D'Hulst, R
Rodgers, GJ
Keywords: Chemistry and Materials Science
Engineering and Physics and Astronomy
Publication Date: 2001
Publisher: Springer Verlag (Germany)
Citation: European Physical Journal B 20(4): 619-625, Apr 2001
Abstract: We present a model describing the competition between information transmission and decision making in financial markets. The solution of this simple model is recalled, and possible variations discussed. It is shown numerically that despite its simplicity, it can mimic a size effect comparable to a crash. Two extensions of this model are presented that allow to simulate the demand process. One of these extensions has a coherent stable equilibrium and is self-organized, while the other has a bistable equilibrium, with a spontaneous segregation of the population of agents. A new model is introduced to generate a transition between those two equilibriums. We show that the coherent state is dominant up to an equal mixing of the two extensions. We focuss our attention on the microscopic structure of the investment rate, which is the main parameter of the original model. A constant investment rate seems to be a very good approximation.
URI: http://www.springerlink.com/content/1434-6036/
http://bura.brunel.ac.uk/handle/2438/430
DOI: http://dx.doi.org/10.1007/s100510170250
Appears in Collections:Mathematics
School of Information Systems, Computing and Mathematics Research Papers
Mathematical Physics

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