Can percolation theory be applied to the stock market ?

Annalen der Physik (Leipzig)

Volumn 7, Issue 5-6, 1998, Pages 529-538

  Stauffer, Dietrich ^a  

^a UNIVERSITY OF COLOGNE   (Germany)

Author keywords

Cont Bouchaud model; Money; Percolation; Volatility

Indexed keywords

CORRELATION METHODS; DECISION THEORY; MARKETING; MATHEMATICAL MODELS; RANDOM PROCESSES;

CONT-BOUCHAUD MODEL;

MONTE CARLO METHODS;

EID: 0032316907     PISSN: 00033804     EISSN: None     Source Type: Journal    
DOI: 10.1002/(sici)1521-3889(199811)7:5/6<529::aid-andp529>3.0.co;2-q     Document Type: Article

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24. G.W. Kim, H.M. Markowitz, J. Portfolio Management, Fall 1989, 45 (1989); H. Takayasu, H. Miura, T. Hirabashi, K. Hamada, Physica A 184 (1992) 127; P. Bak, M. Paczuski, M. Shubik, Physica A 246 (1997) 430; K. Steiglitz, M.L. Honig, L.M. Cohen, chapter 1 in Market-Based Control: A Paradigm for Distributed Resource Allocation. Edited by S. Clearwater, World Scientific, Hong Kong, 1996; T. Lux, J. Economic Dynamics and Control 22 (1997) 1 and J. Economic Behavior and Organization 33 (1998) 143; T.Lux, M. Marchesi, preprint; K.N. Ilinski, A.S. Stepanenko, Report cond-mat/9806138; G. Caldarelli, M. Marsili, Y.C. Zhang, Europhys. Lett. 40 (1997) 479; R. Chatagny, B. Chopard, International Conference on High Performance Computing and Networks, Vienna 1997; R.G. Palmer, W.B. Arthur, J.H. Holland, B. Lebaron, P. Tayler, Physica D 75 (1994) 264; W.B. Arthur, J.H. Holland, B. Lebaron, R.G. Palmer, P. Tayler, in: The Economy as an Evolving Complex System II, eds. W.B. Arthur; S. Durlauf, and D. Lane, Addison-Wesley, Redwood City CA, 1997; A.M.C. de Souza, thesis; C. Tsallis, A.M.C. de Souza, E.M.F. Curado, Chaos, Solitons and Fractals 6 (1995) 561; D. Sornette, A. Johansen, Physica A 245 (1997) 411 and preprint, see also A. Johansen, O. Ledoit, D. Sornette, Report cond-mat/9810071; G. Weisbuch, A. Kirman, D. Herreiner, preprint for J. Theor. Economy
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26. G.W. Kim, H.M. Markowitz, J. Portfolio Management, Fall 1989, 45 (1989); H. Takayasu, H. Miura, T. Hirabashi, K. Hamada, Physica A 184 (1992) 127; P. Bak, M. Paczuski, M. Shubik, Physica A 246 (1997) 430; K. Steiglitz, M.L. Honig, L.M. Cohen, chapter 1 in Market-Based Control: A Paradigm for Distributed Resource Allocation. Edited by S. Clearwater, World Scientific, Hong Kong, 1996; T. Lux, J. Economic Dynamics and Control 22 (1997) 1 and J. Economic Behavior and Organization 33 (1998) 143; T.Lux, M. Marchesi, preprint; K.N. Ilinski, A.S. Stepanenko, Report cond-mat/9806138; G. Caldarelli, M. Marsili, Y.C. Zhang, Europhys. Lett. 40 (1997) 479; R. Chatagny, B. Chopard, International Conference on High Performance Computing and Networks, Vienna 1997; R.G. Palmer, W.B. Arthur, J.H. Holland, B. Lebaron, P. Tayler, Physica D 75 (1994) 264; W.B. Arthur, J.H. Holland, B. Lebaron, R.G. Palmer, P. Tayler, in: The Economy as an Evolving Complex System II, eds. W.B. Arthur; S. Durlauf, and D. Lane, Addison-Wesley, Redwood City CA, 1997; A.M.C. de Souza, thesis; C. Tsallis, A.M.C. de Souza, E.M.F. Curado, Chaos, Solitons and Fractals 6 (1995) 561; D. Sornette, A. Johansen, Physica A 245 (1997) 411 and preprint, see also A. Johansen, O. Ledoit, D. Sornette, Report cond-mat/9810071; G. Weisbuch, A. Kirman, D. Herreiner, preprint for J. Theor. Economy
27. G.W. Kim, H.M. Markowitz, J. Portfolio Management, Fall 1989, 45 (1989); H. Takayasu, H. Miura, T. Hirabashi, K. Hamada, Physica A 184 (1992) 127; P. Bak, M. Paczuski, M. Shubik, Physica A 246 (1997) 430; K. Steiglitz, M.L. Honig, L.M. Cohen, chapter 1 in Market-Based Control: A Paradigm for Distributed Resource Allocation. Edited by S. Clearwater, World Scientific, Hong Kong, 1996; T. Lux, J. Economic Dynamics and Control 22 (1997) 1 and J. Economic Behavior and Organization 33 (1998) 143; T.Lux, M. Marchesi, preprint; K.N. Ilinski, A.S. Stepanenko, Report cond-mat/9806138; G. Caldarelli, M. Marsili, Y.C. Zhang, Europhys. Lett. 40 (1997) 479; R. Chatagny, B. Chopard, International Conference on High Performance Computing and Networks, Vienna 1997; R.G. Palmer, W.B. Arthur, J.H. Holland, B. Lebaron, P. Tayler, Physica D 75 (1994) 264; W.B. Arthur, J.H. Holland, B. Lebaron, R.G. Palmer, P. Tayler, in: The Economy as an Evolving Complex System II, eds. W.B. Arthur; S. Durlauf, and D. Lane, Addison-Wesley, Redwood City CA, 1997; A.M.C. de Souza, thesis; C. Tsallis, A.M.C. de Souza, E.M.F. Curado, Chaos, Solitons and Fractals 6 (1995) 561; D. Sornette, A. Johansen, Physica A 245 (1997) 411 and preprint, see also A. Johansen, O. Ledoit, D. Sornette, Report cond-mat/9810071; G. Weisbuch, A. Kirman, D. Herreiner, preprint for J. Theor. Economy
28. G.W. Kim, H.M. Markowitz, J. Portfolio Management, Fall 1989, 45 (1989); H. Takayasu, H. Miura, T. Hirabashi, K. Hamada, Physica A 184 (1992) 127; P. Bak, M. Paczuski, M. Shubik, Physica A 246 (1997) 430; K. Steiglitz, M.L. Honig, L.M. Cohen, chapter 1 in Market-Based Control: A Paradigm for Distributed Resource Allocation. Edited by S. Clearwater, World Scientific, Hong Kong, 1996; T. Lux, J. Economic Dynamics and Control 22 (1997) 1 and J. Economic Behavior and Organization 33 (1998) 143; T.Lux, M. Marchesi, preprint; K.N. Ilinski, A.S. Stepanenko, Report cond-mat/9806138; G. Caldarelli, M. Marsili, Y.C. Zhang, Europhys. Lett. 40 (1997) 479; R. Chatagny, B. Chopard, International Conference on High Performance Computing and Networks, Vienna 1997; R.G. Palmer, W.B. Arthur, J.H. Holland, B. Lebaron, P. Tayler, Physica D 75 (1994) 264; W.B. Arthur, J.H. Holland, B. Lebaron, R.G. Palmer, P. Tayler, in: The Economy as an Evolving Complex System II, eds. W.B. Arthur; S. Durlauf, and D. Lane, Addison-Wesley, Redwood City CA, 1997; A.M.C. de Souza, thesis; C. Tsallis, A.M.C. de Souza, E.M.F. Curado, Chaos, Solitons and Fractals 6 (1995) 561; D. Sornette, A. Johansen, Physica A 245 (1997) 411 and preprint, see also A. Johansen, O. Ledoit, D. Sornette, Report cond-mat/9810071; G. Weisbuch, A. Kirman, D. Herreiner, preprint for J. Theor. Economy
29. G.W. Kim, H.M. Markowitz, J. Portfolio Management, Fall 1989, 45 (1989); H. Takayasu, H. Miura, T. Hirabashi, K. Hamada, Physica A 184 (1992) 127; P. Bak, M. Paczuski, M. Shubik, Physica A 246 (1997) 430; K. Steiglitz, M.L. Honig, L.M. Cohen, chapter 1 in Market-Based Control: A Paradigm for Distributed Resource Allocation. Edited by S. Clearwater, World Scientific, Hong Kong, 1996; T. Lux, J. Economic Dynamics and Control 22 (1997) 1 and J. Economic Behavior and Organization 33 (1998) 143; T.Lux, M. Marchesi, preprint; K.N. Ilinski, A.S. Stepanenko, Report cond-mat/9806138; G. Caldarelli, M. Marsili, Y.C. Zhang, Europhys. Lett. 40 (1997) 479; R. Chatagny, B. Chopard, International Conference on High Performance Computing and Networks, Vienna 1997; R.G. Palmer, W.B. Arthur, J.H. Holland, B. Lebaron, P. Tayler, Physica D 75 (1994) 264; W.B. Arthur, J.H. Holland, B. Lebaron, R.G. Palmer, P. Tayler, in: The Economy as an Evolving Complex System II, eds. W.B. Arthur; S. Durlauf, and D. Lane, Addison-Wesley, Redwood City CA, 1997; A.M.C. de Souza, thesis; C. Tsallis, A.M.C. de Souza, E.M.F. Curado, Chaos, Solitons and Fractals 6 (1995) 561; D. Sornette, A. Johansen, Physica A 245 (1997) 411 and preprint, see also A. Johansen, O. Ledoit, D. Sornette, Report cond-mat/9810071; G. Weisbuch, A. Kirman, D. Herreiner, preprint for J. Theor. Economy
30. G.W. Kim, H.M. Markowitz, J. Portfolio Management, Fall 1989, 45 (1989); H. Takayasu, H. Miura, T. Hirabashi, K. Hamada, Physica A 184 (1992) 127; P. Bak, M. Paczuski, M. Shubik, Physica A 246 (1997) 430; K. Steiglitz, M.L. Honig, L.M. Cohen, chapter 1 in Market-Based Control: A Paradigm for Distributed Resource Allocation. Edited by S. Clearwater, World Scientific, Hong Kong, 1996; T. Lux, J. Economic Dynamics and Control 22 (1997) 1 and J. Economic Behavior and Organization 33 (1998) 143; T.Lux, M. Marchesi, preprint; K.N. Ilinski, A.S. Stepanenko, Report cond-mat/9806138; G. Caldarelli, M. Marsili, Y.C. Zhang, Europhys. Lett. 40 (1997) 479; R. Chatagny, B. Chopard, International Conference on High Performance Computing and Networks, Vienna 1997; R.G. Palmer, W.B. Arthur, J.H. Holland, B. Lebaron, P. Tayler, Physica D 75 (1994) 264; W.B. Arthur, J.H. Holland, B. Lebaron, R.G. Palmer, P. Tayler, in: The Economy as an Evolving Complex System II, eds. W.B. Arthur; S. Durlauf, and D. Lane, Addison-Wesley, Redwood City CA, 1997; A.M.C. de Souza, thesis; C. Tsallis, A.M.C. de Souza, E.M.F. Curado, Chaos, Solitons and Fractals 6 (1995) 561; D. Sornette, A. Johansen, Physica A 245 (1997) 411 and preprint, see also A. Johansen, O. Ledoit, D. Sornette, Report cond-mat/9810071; G. Weisbuch, A. Kirman, D. Herreiner, preprint for J. Theor. Economy
31. G.W. Kim, H.M. Markowitz, J. Portfolio Management, Fall 1989, 45 (1989); H. Takayasu, H. Miura, T. Hirabashi, K. Hamada, Physica A 184 (1992) 127; P. Bak, M. Paczuski, M. Shubik, Physica A 246 (1997) 430; K. Steiglitz, M.L. Honig, L.M. Cohen, chapter 1 in Market-Based Control: A Paradigm for Distributed Resource Allocation. Edited by S. Clearwater, World Scientific, Hong Kong, 1996; T. Lux, J. Economic Dynamics and Control 22 (1997) 1 and J. Economic Behavior and Organization 33 (1998) 143; T.Lux, M. Marchesi, preprint; K.N. Ilinski, A.S. Stepanenko, Report cond-mat/9806138; G. Caldarelli, M. Marsili, Y.C. Zhang, Europhys. Lett. 40 (1997) 479; R. Chatagny, B. Chopard, International Conference on High Performance Computing and Networks, Vienna 1997; R.G. Palmer, W.B. Arthur, J.H. Holland, B. Lebaron, P. Tayler, Physica D 75 (1994) 264; W.B. Arthur, J.H. Holland, B. Lebaron, R.G. Palmer, P. Tayler, in: The Economy as an Evolving Complex System II, eds. W.B. Arthur; S. Durlauf, and D. Lane, Addison-Wesley, Redwood City CA, 1997; A.M.C. de Souza, thesis; C. Tsallis, A.M.C. de Souza, E.M.F. Curado, Chaos, Solitons and Fractals 6 (1995) 561; D. Sornette, A. Johansen, Physica A 245 (1997) 411 and preprint, see also A. Johansen, O. Ledoit, D. Sornette, Report cond-mat/9810071; G. Weisbuch, A. Kirman, D. Herreiner, preprint for J. Theor. Economy
32. G.W. Kim, H.M. Markowitz, J. Portfolio Management, Fall 1989, 45 (1989); H. Takayasu, H. Miura, T. Hirabashi, K. Hamada, Physica A 184 (1992) 127; P. Bak, M. Paczuski, M. Shubik, Physica A 246 (1997) 430; K. Steiglitz, M.L. Honig, L.M. Cohen, chapter 1 in Market-Based Control: A Paradigm for Distributed Resource Allocation. Edited by S. Clearwater, World Scientific, Hong Kong, 1996; T. Lux, J. Economic Dynamics and Control 22 (1997) 1 and J. Economic Behavior and Organization 33 (1998) 143; T.Lux, M. Marchesi, preprint; K.N. Ilinski, A.S. Stepanenko, Report cond-mat/9806138; G. Caldarelli, M. Marsili, Y.C. Zhang, Europhys. Lett. 40 (1997) 479; R. Chatagny, B. Chopard, International Conference on High Performance Computing and Networks, Vienna 1997; R.G. Palmer, W.B. Arthur, J.H. Holland, B. Lebaron, P. Tayler, Physica D 75 (1994) 264; W.B. Arthur, J.H. Holland, B. Lebaron, R.G. Palmer, P. Tayler, in: The Economy as an Evolving Complex System II, eds. W.B. Arthur; S. Durlauf, and D. Lane, Addison-Wesley, Redwood City CA, 1997; A.M.C. de Souza, thesis; C. Tsallis, A.M.C. de Souza, E.M.F. Curado, Chaos, Solitons and Fractals 6 (1995) 561; D. Sornette, A. Johansen, Physica A 245 (1997) 411 and preprint, see also A. Johansen, O. Ledoit, D. Sornette, Report cond-mat/9810071; G. Weisbuch, A. Kirman, D. Herreiner, preprint for J. Theor. Economy
33. G.W. Kim, H.M. Markowitz, J. Portfolio Management, Fall 1989, 45 (1989); H. Takayasu, H. Miura, T. Hirabashi, K. Hamada, Physica A 184 (1992) 127; P. Bak, M. Paczuski, M. Shubik, Physica A 246 (1997) 430; K. Steiglitz, M.L. Honig, L.M. Cohen, chapter 1 in Market-Based Control: A Paradigm for Distributed Resource Allocation. Edited by S. Clearwater, World Scientific, Hong Kong, 1996; T. Lux, J. Economic Dynamics and Control 22 (1997) 1 and J. Economic Behavior and Organization 33 (1998) 143; T.Lux, M. Marchesi, preprint; K.N. Ilinski, A.S. Stepanenko, Report cond-mat/9806138; G. Caldarelli, M. Marsili, Y.C. Zhang, Europhys. Lett. 40 (1997) 479; R. Chatagny, B. Chopard, International Conference on High Performance Computing and Networks, Vienna 1997; R.G. Palmer, W.B. Arthur, J.H. Holland, B. Lebaron, P. Tayler, Physica D 75 (1994) 264; W.B. Arthur, J.H. Holland, B. Lebaron, R.G. Palmer, P. Tayler, in: The Economy as an Evolving Complex System II, eds. W.B. Arthur; S. Durlauf, and D. Lane, Addison-Wesley, Redwood City CA, 1997; A.M.C. de Souza, thesis; C. Tsallis, A.M.C. de Souza, E.M.F. Curado, Chaos, Solitons and Fractals 6 (1995) 561; D. Sornette, A. Johansen, Physica A 245 (1997) 411 and preprint, see also A. Johansen, O. Ledoit, D. Sornette, Report cond-mat/9810071; G. Weisbuch, A. Kirman, D. Herreiner, preprint for J. Theor. Economy
34. G.W. Kim, H.M. Markowitz, J. Portfolio Management, Fall 1989, 45 (1989); H. Takayasu, H. Miura, T. Hirabashi, K. Hamada, Physica A 184 (1992) 127; P. Bak, M. Paczuski, M. Shubik, Physica A 246 (1997) 430; K. Steiglitz, M.L. Honig, L.M. Cohen, chapter 1 in Market-Based Control: A Paradigm for Distributed Resource Allocation. Edited by S. Clearwater, World Scientific, Hong Kong, 1996; T. Lux, J. Economic Dynamics and Control 22 (1997) 1 and J. Economic Behavior and Organization 33 (1998) 143; T.Lux, M. Marchesi, preprint; K.N. Ilinski, A.S. Stepanenko, Report cond-mat/9806138; G. Caldarelli, M. Marsili, Y.C. Zhang, Europhys. Lett. 40 (1997) 479; R. Chatagny, B. Chopard, International Conference on High Performance Computing and Networks, Vienna 1997; R.G. Palmer, W.B. Arthur, J.H. Holland, B. Lebaron, P. Tayler, Physica D 75 (1994) 264; W.B. Arthur, J.H. Holland, B. Lebaron, R.G. Palmer, P. Tayler, in: The Economy as an Evolving Complex System II, eds. W.B. Arthur; S. Durlauf, and D. Lane, Addison-Wesley, Redwood City CA, 1997; A.M.C. de Souza, thesis; C. Tsallis, A.M.C. de Souza, E.M.F. Curado, Chaos, Solitons and Fractals 6 (1995) 561; D. Sornette, A. Johansen, Physica A 245 (1997) 411 and preprint, see also A. Johansen, O. Ledoit, D. Sornette, Report cond-mat/9810071; G. Weisbuch, A. Kirman, D. Herreiner, preprint for J. Theor. Economy
35. G.W. Kim, H.M. Markowitz, J. Portfolio Management, Fall 1989, 45 (1989); H. Takayasu, H. Miura, T. Hirabashi, K. Hamada, Physica A 184 (1992) 127; P. Bak, M. Paczuski, M. Shubik, Physica A 246 (1997) 430; K. Steiglitz, M.L. Honig, L.M. Cohen, chapter 1 in Market-Based Control: A Paradigm for Distributed Resource Allocation. Edited by S. Clearwater, World Scientific, Hong Kong, 1996; T. Lux, J. Economic Dynamics and Control 22 (1997) 1 and J. Economic Behavior and Organization 33 (1998) 143; T.Lux, M. Marchesi, preprint; K.N. Ilinski, A.S. Stepanenko, Report cond-mat/9806138; G. Caldarelli, M. Marsili, Y.C. Zhang, Europhys. Lett. 40 (1997) 479; R. Chatagny, B. Chopard, International Conference on High Performance Computing and Networks, Vienna 1997; R.G. Palmer, W.B. Arthur, J.H. Holland, B. Lebaron, P. Tayler, Physica D 75 (1994) 264; W.B. Arthur, J.H. Holland, B. Lebaron, R.G. Palmer, P. Tayler, in: The Economy as an Evolving Complex System II, eds. W.B. Arthur; S. Durlauf, and D. Lane, Addison-Wesley, Redwood City CA, 1997; A.M.C. de Souza, thesis; C. Tsallis, A.M.C. de Souza, E.M.F. Curado, Chaos, Solitons and Fractals 6 (1995) 561; D. Sornette, A. Johansen, Physica A 245 (1997) 411 and preprint, see also A. Johansen, O. Ledoit, D. Sornette, Report cond-mat/9810071; G. Weisbuch, A. Kirman, D. Herreiner, preprint for J. Theor. Economy
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