Abstract
We present generalized dynamical models describing the sharing of information, and the corresponding herd behavior, in a population based on the recent model proposed by Eguíluz and Zimmermann (EZ) [Phys. Rev. Lett. 85, 5659 (2000)]. The EZ model, which is a dynamical version of the herd formation model of Cont and Bouchaud (CB), gives a reasonable model for the formation of clusters of agents and for actions taken by clusters of agents. Both the EZ and CB models give a cluster size distribution characterized by a power law with an exponent -5/2. By introducing a size-dependent probability for dissociation of a cluster of agents, we show that the exponent characterizing the cluster size distribution becomes model-dependent and non-universal, with an exponential cutoff for large cluster sizes. The actions taken by the clusters of agents generate the price returns, the distribution of which is also characterized by a model-dependent exponent. When a size-dependent transaction rate is introduced instead of a size-dependent dissociation rate, it is found that the distribution of price returns is characterized by a model-dependent exponent while the exponent for the cluster-size distribution remains unchanged. The resulting systems provide simplified models of a financial market and yield power law behaviour with an easily tunable exponent.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 213-218 |
| Number of pages | 6 |
| Journal | European Physical Journal B |
| Volume | 27 |
| Issue number | 2 |
| State | Published - May 2 2002 |
| Externally published | Yes |
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Keywords
- 02.50.Le Decision theory and game theory 05.45.Tp Time series analysis
- 05.65.+b Self-organized systems
- 87.23.Ge Dynamics of social systems
ASJC Scopus subject areas
- Electronic, Optical and Magnetic Materials
- Condensed Matter Physics
Cite this
Herd formation and information transmission in a population : Non-universal behaviour. / Zheng, D. F.; Hui, P. M.; Yip, K. F.; Johnson, Neil F.
In: European Physical Journal B, Vol. 27, No. 2, 02.05.2002, p. 213-218.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Herd formation and information transmission in a population
T2 - Non-universal behaviour
AU - Zheng, D. F.
AU - Hui, P. M.
AU - Yip, K. F.
AU - Johnson, Neil F
PY - 2002/5/2
Y1 - 2002/5/2
N2 - We present generalized dynamical models describing the sharing of information, and the corresponding herd behavior, in a population based on the recent model proposed by Eguíluz and Zimmermann (EZ) [Phys. Rev. Lett. 85, 5659 (2000)]. The EZ model, which is a dynamical version of the herd formation model of Cont and Bouchaud (CB), gives a reasonable model for the formation of clusters of agents and for actions taken by clusters of agents. Both the EZ and CB models give a cluster size distribution characterized by a power law with an exponent -5/2. By introducing a size-dependent probability for dissociation of a cluster of agents, we show that the exponent characterizing the cluster size distribution becomes model-dependent and non-universal, with an exponential cutoff for large cluster sizes. The actions taken by the clusters of agents generate the price returns, the distribution of which is also characterized by a model-dependent exponent. When a size-dependent transaction rate is introduced instead of a size-dependent dissociation rate, it is found that the distribution of price returns is characterized by a model-dependent exponent while the exponent for the cluster-size distribution remains unchanged. The resulting systems provide simplified models of a financial market and yield power law behaviour with an easily tunable exponent.
AB - We present generalized dynamical models describing the sharing of information, and the corresponding herd behavior, in a population based on the recent model proposed by Eguíluz and Zimmermann (EZ) [Phys. Rev. Lett. 85, 5659 (2000)]. The EZ model, which is a dynamical version of the herd formation model of Cont and Bouchaud (CB), gives a reasonable model for the formation of clusters of agents and for actions taken by clusters of agents. Both the EZ and CB models give a cluster size distribution characterized by a power law with an exponent -5/2. By introducing a size-dependent probability for dissociation of a cluster of agents, we show that the exponent characterizing the cluster size distribution becomes model-dependent and non-universal, with an exponential cutoff for large cluster sizes. The actions taken by the clusters of agents generate the price returns, the distribution of which is also characterized by a model-dependent exponent. When a size-dependent transaction rate is introduced instead of a size-dependent dissociation rate, it is found that the distribution of price returns is characterized by a model-dependent exponent while the exponent for the cluster-size distribution remains unchanged. The resulting systems provide simplified models of a financial market and yield power law behaviour with an easily tunable exponent.
KW - 02.50.Le Decision theory and game theory 05.45.Tp Time series analysis
KW - 05.65.+b Self-organized systems
KW - 87.23.Ge Dynamics of social systems
UR - http://www.scopus.com/inward/record.url?scp=0041806497&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=0041806497&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:0041806497
VL - 27
SP - 213
EP - 218
JO - European Physical Journal B
JF - European Physical Journal B
SN - 1434-6028
IS - 2
ER -