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2015 | 127 | 3A | A-108-A-112
Tytuł artykułu

Hierarchical Cont-Bouchaud Model

Treść / Zawartość
Abstrakt, słowa kluczowe
Źródło
Twórcy
Bibliografia
Dodatkowe informacje
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
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.
Słowa kluczowe
Czasopismo
Acta Physica Polonica A , ISSN 0587-4246
Rocznik
Tom
127
Numer
3A
Strony
A-108-A-112
Opis fizyczny
Daty
wydano
2015-03
Twórcy
autor
  • Center of Excellence for Complex Systems Research, Faculty of Physics, Warsaw University of Technology, Koszykowa 75, PL-00662 Warsaw, Poland
autor
  • Center of Excellence for Complex Systems Research, Faculty of Physics, Warsaw University of Technology, Koszykowa 75, PL-00662 Warsaw, Poland
autor
  • Center of Excellence for Complex Systems Research, Faculty of Physics, Warsaw University of Technology, Koszykowa 75, PL-00662 Warsaw, Poland
  • ITMO University, 19, Kronverkskiy av., 197101 Saint Petersburg, Russia
Bibliografia
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PCP
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