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Non-universal scaling and dynamical feedback in generalized models of financial markets

Dafang Zheng·G. J. Rodgers·P. M. Hui·R. D'Hulst
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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.

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Dafang Zheng, G. J. Rodgers, P. M. Hui, R. D'Hulst. 2001-08-24. Non-universal scaling and dynamical feedback in generalized models of financial markets. https://doi.org/10.1016/s0378-4371(01)00426-5

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