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arXiv · 1003.3114

Self-organized model of cascade spreading

Stanislao Gualdi·Matus Medo·Yi-Cheng Zhang
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Abstract

We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a minimal self-organized model of cascade spreading based on a probabilistic response of the system elements to stress conditions. This model is solvable using the theory of branching processes and the mean-field approximation. For a wide range of parameters, the system is in a critical state and displays a power-law cascade-size distribution similar to the empirically observed one. We further generalize the model to reproduce volatility clustering and other observed properties of real stocks.

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Stanislao Gualdi, Matus Medo, Yi-Cheng Zhang. 2010-03-16. Self-organized model of cascade spreading. https://doi.org/10.1140/epjb/e2010-10668-8

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