Caetano, Marco Antonio Leonel; Yoneyama, Takashi - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 23, pp. 4445-4450
This work concerns the modeling of contagion and herding effects which can cause significant movements of prices and volatilities. The idea is to adapt some concepts borrowed from the Biological Sciences and that have emerged as useful analogies to model a variety of phenomena in a large variety...