论文信息 - MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING

MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING

Through slow changes in the position of the traders, we introduce correlations between the volatility (root mean square change) of the prices at different times. We find this volatility correlation to decay slowly with time, as also observed in reality, and quite independent of the dimensionality of the lattice. We also make the trading activity of a cluster of traders proportional to the cluster size.

Dietrich Stauffer | Américo Tristão Bernardes | Paulo Murilo Castro de Oliveira

[1] D. Sornette,et al. Stretched exponential distributions in nature and economy: “fat tails” with characteristic scales , 1998, cond-mat/9801293.

[2] L. Bachelier,et al. Théorie de la spéculation , 1900 .

[3] Paul J. Flory,et al. Molecular Size Distribution in Three Dimensional Polymers. I. Gelation1 , 1941 .

[4] John Archibald Wheeler,et al. At Home in the Universe , 1994 .

[5] S. Redner,et al. Introduction To Percolation Theory , 2018 .

[6] S. Havlin,et al. Indication of a Universal Persistence Law Governing Atmospheric Variability , 1998 .