Two-phase phenomena, minority games, and herding models

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 69, Issue 4 2, 2004, Pages

  Zheng, B ^a,b   Qiu, T ^a   Ren, F ^a,b  

^a ZHEJIANG UNIVERSITY   (China)

^b MARTIN LUTHER UNIVERSITY HALLE WITTENBERG   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

CORRELATION METHODS; GAME THEORY; GRAPH THEORY; MATHEMATICAL MODELS; PARAMETER ESTIMATION; PROBABILITY DISTRIBUTIONS; TIME SERIES ANALYSIS;

FINANCIAL MARKETS; GERMAN DAX; HERDING MODELS; MINORITY GAMES;

FINANCE;

EID: 45849154868     PISSN: 15393755     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (29)

1. R.N, Mantegna and H.E. Stanley, Nature (London) 376, 46 (1995).
2. S. Ohashghaie, W. Breymann, J. Peinke, P. Talkner, and Y. Dodge, Nature (London) 381, 767 (1996).
3. R.N. Mantegna and H.E. Stanley, Nature (London) 383, 587 (1996).
4. D. Sornette, A. Johansen, and J-P. Bouchaud, J. Phys. I 6, 167 (1996).
5. J.A. Feigenbaum and P.G.O. Freund, Int. J. Mod. Phys. B 10, 3737 (1996).
6. D. Stauffer and T.J.P. Penna, Physica A 256, 284 (1998).
7. L. Laloux, P. Cizeau, J-P. Bouchaud, and M. Potters, Phys. Rev. Lett. 83, 1467 (1999).
8. V. Plerou, P. Gopikrishnan, B. Rosenow, L.A.N. Amaral, and H.E. Stanley, Phys. Rev. Lett. 83, 1471 (1999).
9. T. Lux and M. Marchesi, Nature (London) 397, 498 (1999).
10. B.M. Roehner, Int. J. Mod. Phys. C 11, 91 (2000).
11. B.M. Roehner, Int. J. Mod. Phys. C 12, 43 (2001).
12. J.P. Bouchaud, A. Matacz, and M. Potters, Phys. Rev. Lett. 87, 228701 (2001).
13. H.E. Stanley, L.A.N. Amaral, X. Gabaix, P. Gopikrishnan, and V. Plerou, Physica A 299, 1 (2001).
14. I. Giardina, J.P Bouchaud, and M. Mézard, Physica A 299, 28 (2001).
15. P. Gopikrishnan, V. Plerou, L.A.N. Amaral, M. Meyer, and H.E. Stanley, Phys. Rev. E 60, 5305 (1999).
16. Y. Liu, P. Gopikrishnan, P. Cizeau, M. Meyer, C-K. Peng, and H.E. Stanley, Phys. Rev. E 60, 1390 (1999).
17. V. Plerou, P. Gopikrishnan, and H.E. Stanley, Nature (London) 421, 130 (2003).
18. D. Challet and Y.C. Zhang, Physica A 246, 407 (1997).
19. D. Stauffer, P.M.C. de Oliveria, and A.T. Bernardes, Int. J. Theor. Appl. Finance 2, 83 (1999).
20. D. Stauffer and N. Jan, Physica A 277, 215 (2000).
21. R. Cont and J-P. Bouchaud, Adv. Biosens. 4, 170 (2000).
22. V.M. Eguiluz and M.G. Zimmermann, Phys. Rev. Lett. 85, 5659 (2000).
23. J.F. Muzy, J. Delour, and E. Bacry, Eur. Phys. J. B 17, 537 (2000).
24. D. Challer, M. Marsili, and Y.C. Zhang, Physica A 294, 514 (2001).
25. Y. Louzoun and S. Solomon, Physica A 302, 220 (2001).
26. A. Krawiecki, J.A. Holyst, and D. Helbing, Phys. Rev. Lett. 89, 158701 (2002).
27. Z.F. Huang and S. Solomon, Physica A 306, 412 (2002).
28. B. Zheng, F. Ren, S. Trimper, and D.F. Zheng (unpublished).
29. P. Jefferies, M.L. Hart, P.M. Hui, and N.F. Johnson, Int. J. Theor. Appl. Finance 3, 3 (2000).