- Tytuł:
- Hierarchical Cont-Bouchaud Model
- Autorzy:
-
Paluch, R.
Suchecki, K.
Hołyst, J. - Powiązania:
- https://bibliotekanauki.pl/articles/1388158.pdf
- Data publikacji:
- 2015-03
- Wydawca:
- Polska Akademia Nauk. Instytut Fizyki PAN
- Tematy:
-
89.65.-s
89.65.Gh
89.75.-k
05.40.-a - Opis:
- We extend the well-known Cont-Bouchaud model to include a hierarchical topology of agent's interactions. The influence of hierarchy on system dynamics is investigated by two models. The first one is based on a multi-level, nested Erdős-Rényi random graph and individual decisions by agents according to Potts dynamics. This approach does not lead to a broad return distribution outside a parameter regime close to the original Cont-Bouchaud model. In the second model we introduce a limited hierarchical Erdős-Rényi graph, where merging of clusters at a level h+1 involves only clusters that have merged at the previous level h and we use the original Cont-Bouchaud agent dynamics on resulting clusters. The second model leads to a heavy-tail distribution of cluster sizes and relative price changes in a wide range of connection densities, not only close to the percolation threshold.
- Źródło:
-
Acta Physica Polonica A; 2015, 127, 3A; A-108-A-112
0587-4246
1898-794X - Pojawia się w:
- Acta Physica Polonica A
- Dostawca treści:
- Biblioteka Nauki
Artykuł