A generalized dynamic herding model with feed-back interactions

A dynamic feed-back interaction is introduced to the Eguiluz–Zimmermann model (Phys. Rev. Lett. 85 (2000) 5659). In application to financial dynamics, transmission of information at time t′ is supposed to depend on the variation of the financial index at t′-1. The generated time series is strongly correlated in time at criticality. Both static and dynamic behavior are investigated.

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Year of publication:	2004
Authors:	Zheng, B. ; Ren, F. ; Trimper, S. ; Zheng, D.F.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 343.2004, C, p. 653-661
Publisher:	Elsevier
Subject:	Nonequilibrium kinetics \| Financial dynamics \| Critical dynamics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011059467