Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/315
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dc.contributor.authorD'Hulst, R-
dc.contributor.authorRodgers, GJ-
dc.coverage.spatial8en
dc.date.accessioned2006-10-30T12:14:40Z-
dc.date.available2006-10-30T12:14:40Z-
dc.date.issued2000-
dc.identifier.citationInternational Journal of Theoretical and Applied Finance 3: 609-616-
dc.identifier.urihttp://arxiv.org/abs/cond-mat/9908481en
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/315-
dc.identifier.urihttp://www.worldscinet.com/ijtaf/03/0304/S0219024900000784.htmlen
dc.description.abstractAn exact solution is presented to a model that mimics the crowding effect in financial markets which arises when groups of agents share information. We show that the size distribution of groups of agents has a power law tail with an exponential cut-off. As the size of these groups determines the supply and demand balance, this implies heavy tails in the distribution of price variation. The moments of the distribution are calculated, as well as the kurtosis. We find that the kurtosis is large for all model parameter values and that the model is not self-organizing.en
dc.format.extent909130 bytes-
dc.format.mimetypeapplication/pdf-
dc.language.isoen-
dc.subjectStatistical mechanicsen
dc.subjectSoft condensed matteren
dc.subjectStatistics-
dc.subjectMarket organization-
dc.subjectHerding-
dc.subjectEconomy-
dc.titleExact solution of a model for crowding and information transmission in financial marketsen
dc.typeResearch Paperen
Appears in Collections:Mathematical Physics
Dept of Mathematics Research Papers
Mathematical Sciences

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