Two-phase phenomena, minority games, and herding models.
نویسندگان
چکیده
The recently discovered two-phase phenomenon in financial markets [Nature 421, 130 (2003)] is examined with the German financial index DAX, minority games, and dynamic herding models. It is observed that the two-phase phenomenon is an important characteristic of financial dynamics, independent of volatility clustering. An interacting herding model correctly produces the two-phase phenomenon.
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ورودعنوان ژورنال:
- Physical review. E, Statistical, nonlinear, and soft matter physics
دوره 69 4 Pt 2 شماره
صفحات -
تاریخ انتشار 2004