A consensus-based dynamics for market volumes

Physica A: Statistical Mechanics and its Applications

Volumn 344, Issue 1-2, 2004, Pages 62-66

  Sabatelli, Lorenzo ^a   Richmond, Peter ^a  

^a TRINITY COLLEGE DUBLIN   (Ireland)

Author keywords

Cellular automata; Econophysics; Opinion dynamics; Statistical mechanics

Indexed keywords

BENCHMARKING; FINANCE; MAGNETIZATION; PHASE TRANSITIONS; PROBABILITY; RANDOM PROCESSES;

CELLULAR AUTOMATA; ECONOPHYSICS; MUTUAL FUNDS; OPINION DYNAMICS;

STATISTICAL MECHANICS;

EID: 5444266926     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.06.088     Document Type: Conference Paper

References (7)

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3. L. Sabatelli, P. Richmond, Phase transitions memory and frustration in a Sznajd-like model with synchronous updating, Int. J. Mod. Phys. C 14 (9) (2003) cond-mat/0305015.
4. L. Sabatelli, P. Richmond, Non-monotonic spontaneous magnetization in a Sznajd-like consensus model, Physica A 334 (2004) 274-280.
5. F. Lillo, J.D. Farmer, R.N. Mantegna, Master curve for price-impact function, Nature 421 (6919) (2003) 129-130.
6. P. Gopikrishnan, V. Plerou, X. Gabaix, H.E. Stanley, Statistical properties of share volume traded in financial markets, Phys. Rev. E (Rapid Comm.) 62 (2000) R4493.
7. J.D. Farmer, F. Lillo, On the origin of power law tails in price fluctuations, preprint, cond-mat/0309416.