Abstract
We study two weight-driven information spreading models for financial market. In these models, we find that the activity threshold below which the 'financial crash' occurs can be increased by uneven distribution of information weight, compared with Eguíluz and Zimmermann model [V.M. Eguíluz, M.G. Zimmermann, Phys. Rev. Lett. 85 (2000) 5659]. We also find that below the threshold the normalized return distribution, P (Z ; Δ t) satisfies P (Z = 0 ; Δ t) ∼ exp (- Δ t / b) whereas P (Z = 0 ; Δ t) ∼ Δ t- τ above the threshold. Here Δ t is the time interval where the normalized return is defined, Z (t, Δ t) = Z (t + Δ t) - Z (t). By approximating the relative increase of P (Z ; Δ t = 1) for large Z as Gaussian distribution with non-zero mean, we show that the non-zero mean of the Gaussian distribution can cause such exponentially decaying behavior of P (Z = 0 ; Δ t).
| Original language | English |
|---|---|
| Pages (from-to) | 6605-6612 |
| Number of pages | 8 |
| Journal | Physica A: Statistical Mechanics and its Applications |
| Volume | 387 |
| Issue number | 26 |
| DOIs | |
| Publication status | Published - 15 Nov 2008 |
Bibliographical note
Funding Information:We thank to Mr. Ko for the help of computational work and Prof. Jeong for providing S&P 500 data during the crash period. This work was supported by the Korea Science and Engineering Foundation (KOSEF) grant funded by the Korea government (MOST) (No. R01-2007-000-10910-0 and No. R01-2006-000-10470-0).
Keywords
- Econophysics