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Title: Growth and Coagulation in a Herding Model
Authors: Rawal, S
Rodgers, GJ
Keywords: herding;growth;coagulation;power-laws
Issue 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
Appears in Collections:Mathematical Physics
Dept of Mathematics Research Papers
Mathematical Sciences

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