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http://bura.brunel.ac.uk/handle/2438/440
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 |
URI: | https://bura.brunel.ac.uk/handle/2438/440 |
DOI: | https://doi.org/10.1016/j.physa.2004.06.086 |
Appears in Collections: | Mathematical Physics Dept of Mathematics Research Papers Mathematical Sciences |
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