Price variations in a stock market with many agents

Physica A: Statistical Mechanics and its Applications

Volumn 246, Issue 3-4, 1997, Pages 430-453

  Bak, P ^a   Paczuski, M ^b   Shubik, M ^c  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

^b University of Houston   (United States)

^c YALE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

MATHEMATICAL MODELS; QUANTUM THEORY; STATISTICAL METHODS;

STOCK MARKET;

MARKETING;

EID: 0031331704     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(97)00401-9     Document Type: Article

References (31)

1. B. Mandelbrot, The Journal of Business of the University of Chicago 39 (1996) 242.
2. B. Mandelbrot, The Journal of Business of the University of Chicago 40 (1967) 393.
3. V. Akgiray, G.G. Booth, J. Business Econ. Statistics 6 (1988) 51.
4. R.N. Mantegna, Physica A 179 (1991) 232.
5. R.N. Mantegna, H.E. Stanley, Nature 376 (1995) 46.
6. A. Arneodo, J.-P. Bouchaud, R. Cont, J.-F. Muzy, M. Potters, D. Sornette, Cond-Mat preprint 9607120 (1996).
7. M. Levy, S. Solomon, Int. J. Mod. Phys. C 7 (1996) 65.
8. For earlier related work see H. Simon, Models of Man, Wiley, New York, 1957.
9. P. Bak, C. Tang, K. Wiesenfeld, Phys. Rev. Lett. 59 (1987) 381.
10. P. Bak, C. Tang, K. Wiesenfeld, Phys. Rev. A 38 (1988) 364.
11. P. Bak, How Nature Works: The Science of Self-Organized Criticality, Springer-Copernicus, New York, 1996.
12. G.K. Zipf, Human Behavior and the Principle of Least Effort, Addison Wesley, Reading MA, 1949.
13. Y. Ijiri, H. Simon, Skew Distributions and the Sizes of Business Firms, North-Holland, Amsterdam, 1977.
14. W.B. Arthur, The Economic Journal 99 (1989) 116.
15. W.B. Arthur, Scientific American 2 (1990) 92.
16. P. Bak, M. Paczuski, Proc. Nat. Acad. Sci. USA 92 (1995) 6689.
17. P. Bak, K. Chen, J. Scheinkman, M. Woodford, Richerche Economichi 47 (1993) 3.
18. M. Paczuski, K. Nagel, cond-mat 9602011, in: D.E. Wolf, M. Schreckenberg, A. Bachem (Eds.), Traffic and Granular Flow, World Scientific, Singapore, 1996.
19. K. Nagel, M. Paczuski, Phys. Rev. E 51 (1995) 2909.
20. G.T. Barkema, M.J. Howard, J.L. Cardy, Phys. Rev. E 92 (1996) 2017.
21. M. Paczuski, S. Maslov, P. Bak, Phys. Rev. E 53 (1996) 414.
22. S.C. Manrubia, M. Paczuski, Cond-Mat preprint 9607066 (1996).
23. J. Feder, Fractals, Plenum, NewYork, 1989.
24. J. De Long, A. Shleifer, L.H. Summers, R.J. Waldmann, Journal of Political Economy 98 (1990) 703.
25. P.J. Dubey, J. Geanokoplos, M. Shubik, J. Math. Econ. 16 (1987) 105.
26. G. Le Bon, The Crowd, translation of 2nd ed., Cherokee Publishing, Marietta, GA, 1982.
27. W.B. Arthur, Increasing Returns and Path Dependence in the Economy, University of Michigan Press, Ann Arbor, 1994.
28. D. Gale, R.W. Rosenthal, Experimentation, imitation, and stochastic stability, ISP Discussion Paper #65, Boston University, 1996.
29. J.-M. Grandmont, Behavioral heterogeneity and Cournot oligopoly equilibrium, CFDP (1993) 1044.
30. W.B. Arthur, J.H. Holland, B. LeBaron, R. Palmer, P. Taylor, Asset pricing under inductive reasoning in artificial stock market, SFI paper 96-12-093.
31. E.E. Peters, Fractal Market Analysis, Wiley, NewYork, 1994.