Transition from coherence to bistability in a model of financial markets

European Physical Journal B

Volumn 20, Issue 4, 2001, Pages 619-625

  D'Hulst, R ^a   Rodgers, G J ^a  

^a BRUNEL UNIVERSITY   (United Kingdom)

Author keywords

02.50.Le Decision theory and game theory; 02.50.Ng Distribution theory and Monte Carlo studies; 05.65.+b Self organized systems

Indexed keywords

EID: 0000286389     PISSN: 14346028     EISSN: None     Source Type: Journal    
DOI: 10.1007/s100510170250     Document Type: Article

References (20)

1. L. Bachelier, Ann. Sci. École Norm. Sup. 3, 21 (1900).
2. R.N. Mantegna, H.E. Stanley, Nature 376, 46 (1995).
3. J.-P. Bouchaud, M. Potters, Theory of Financial Risks (Cambridge University Press, Cambridge, 2000).
4. C.G. de Vries, The Handbook of International Macroeconomics, edited by F. van der Ploeg (Blackwell, Oxford, 1994).
5. A. Pagan, J. Empirical Finance 3, 15 (1996).
6. D.M. Guillaume, M.M. Dacorogna, R.R. Davé, J.A. Müller, R.B. Olsen, O.V. Pictet, Fin. Stochastics 1, 95 (1997).
7. P. Gopikrishnan, M. Meyer, L.A.N. Amaral, H.E. Stanley, Eur. Phys. J. B 3, 139 (1998).
8. T. Lux, M. Marchesi, Nature 397, 498 (1999).
9. P. Gopikrishnan, V. Plerou, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. E 60, 5305 (1999) (also at cond-mat/9905305).
10. V.M. Eguíluz, M.G. Zimmermann, Phys. Rev. Lett. 85, 5659 (2000) (also at cond-mat/9908069).
11. R. Cont, J.-P. Bouchaud, Macroeconomic Dynamics 4, 2 (2000) (also at cond-mat/9712318).
12. R. D'Hulst, G.J. Rodgers, IJTAF 3, 609 (2000) (also at cond-mat/9908481).
13. R. D'Hulst, G.J. Rodgers, Physica A 280, 554 (2000) (also at adap-org/9912003).
14. Y.-C. Zhang, Physica A 269, 30 (1999) (also at cond-mat/9901243).
15. R. D'Hulst, G.J. Rodgers, adap-org/9904003.
16. D. Sornette, A. Johansen, J.-P. Bouchaud, J. Phys. I France 6, 167 (1996) (also at cond-mat/9510036).
17. N. Vandewalle, M. Ausloos, Eur. J. Phys. B 4, 139 (1998).
18. N. Vandewalle, M. Ausloos, Ph. Boveroux, A. Minguet, Eur. J. Phys. B 9, 355 (1999).
19. D. Sornette, A. Johansen, Physica A 261, 581 (1998).
20. D.H. Zanette, presented to the First Workshop on the Dynamics of Socio-Economical Systems, La Plata, Argentina, Nov. 1998 (also at adap-org/9905006).