Market application of the percolation model: Relative price distribution
Anirban Chakraborti
Abstract
We study a variant of the Cont-Bouchaud model which utilizes the perco lation approach of multi-agent simulations of the stock market fluctuations. Here, instead of considering the relative price change as the difference of the total demand and total supply, we consider the relative price change to be proportiona l to the ``relative'' difference of demand and supply (the ratio of the difference in total demand and total supply to the sum of the total demand and total supply). We then study the probability distribution of the price changes.
Create a lesson
Related papers
Towards synergy between theory and experiments: First-passage processes under resetting with stochastic return protocols
Ashutosh Dubey, Arnab Pal
Emergent Loop Geometry in Gauge-Equivariant Graph Neural Networks
Ali Rayat, Gia-Wei Chern
Extending the mean first-passage-time formalism to the reconstruction of high free-energy barriers: A top-start approach
Ying Jiang, Ivan Saika-Voivod
Exact Microscopic One-Body Reduction in the Symmetric Exclusion Process
Olivier Bénichou, Aurélien Grabsch
Macroscopic fluctuation theory of stochastic systems undergoing monitoring
João Costa, Pedro Ribeiro, Andrea De Luca
Charge-selective topological locking and ultraslow coarsening in magnetoelastic media
Tirthankar Banerjee, Amaresh Jaiswal