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DC Field | Value | Language |
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dc.contributor.author | Zheng, DG | - |
dc.contributor.author | Rodgers, GJ | - |
dc.contributor.author | Hui, PM | - |
dc.contributor.author | D'Hulst, R | - |
dc.coverage.spatial | 10 | en |
dc.date.accessioned | 2006-10-24T13:42:50Z | - |
dc.date.available | 2006-10-24T13:42:50Z | - |
dc.date.issued | 2002 | - |
dc.identifier.citation | Physica A, 303: 176-184 | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/296 | - |
dc.description.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. | en |
dc.format.extent | 666421 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | - |
dc.relation.ispartof | Brunel University Research Archive; | - |
dc.subject | Non-universal | en |
dc.subject | Demand | en |
dc.subject | Feedback | en |
dc.subject | Fragmentation and coagulation | en |
dc.title | Non-universal scaling and dynamical feedback in generalized models of financial markets | en |
dc.type | Preprint | en |
dc.identifier.doi | http://dx.doi.org/10.1016/S0378-4371(01)00426-5 | - |
Appears in Collections: | Mathematical Physics Dept of Mathematics Research Papers Mathematical Sciences |
Files in This Item:
File | Description | Size | Format | |
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Preprint.pdf | 650.8 kB | Adobe PDF | View/Open |
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