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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/440

Title: Growth and Coagulation in a Herding Model
Authors: Rawal, S
Rodgers, G J
Keywords: Herding
Growth
Coagulation
Power-laws
Publication Date: 2004
Publisher: Elsevier
Citation: Physica A: Statistical Mechanics and its Applications 344 (1-2): 50-55, Dec 2004
Abstract: We discuss various existing models which mimic the herding effect in financial markets and introduce a new model of herding which incorporates both growth and coagulation. In this model, at each time step either (i) with probability p the system grows through the introduction of a new agent or (ii) with probability q=1-p two groups are selected at random and coagulate. We show that the size distribution of these groups has a power law tail with an exponential cut-off. A variant of our basic model is also discussed where rates are proportional to the size of a group
URI: http://bura.brunel.ac.uk/handle/2438/440
DOI: http://dx.doi.org/10.1016/j.physa.2004.06.086
Appears in Collections:Mathematics
School of Information Systems, Computing and Mathematics Research Papers
Mathematical Physics

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