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DC Field | Value | Language |
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dc.contributor.author | D'Hulst, R | - |
dc.contributor.author | Rodgers, GJ | - |
dc.coverage.spatial | 7 | en |
dc.date.accessioned | 2006-11-29T17:54:15Z | - |
dc.date.available | 2006-11-29T17:54:15Z | - |
dc.date.issued | 2001 | - |
dc.identifier.citation | European Physical Journal B 20(4): 619-625, Apr 2001 | en |
dc.identifier.uri | http://www.springerlink.com/content/1434-6036/ | en |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/430 | - |
dc.description.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. | en |
dc.format.extent | 1550552 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | - |
dc.publisher | Springer Verlag (Germany) | en |
dc.subject | Chemistry and Materials Science | en |
dc.subject | Engineering and Physics and Astronomy | en |
dc.title | Transition from coherence to bistability in a model of financial markets | en |
dc.type | Research Paper | en |
dc.identifier.doi | http://dx.doi.org/10.1007/s100510170250 | - |
Appears in Collections: | Mathematical Physics Dept of Mathematics Research Papers Mathematical Sciences |
Files in This Item:
File | Description | Size | Format | |
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Transition From Coherence.pdf | 1.51 MB | Adobe PDF | View/Open |
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