TWO-PHASE PHENOMENON IN FINANCIAL MARKETS-Reference-Cited by-同舟云学术

TWO-PHASE PHENOMENON IN FINANCIAL MARKETS

Published:2004-07-30 Issue:17n19 Volume:18 Page:2492-2497
ISSN:0217-9792
Container-title:International Journal of Modern Physics B
language:en
Short-container-title:Int. J. Mod. Phys. B

Author:

HU N.¹,ZHENG B.¹²,QIU T.¹

Affiliation:

1. Zhejiang Institute of Modern Physics, Zhejiang University, Hangzhou 310027, P. R. China

2. FB Physik, Universität – Halle, 06099 Halle, Germany

Abstract

The recently discovered two-phase phenomenon in financial markets [Nature421 (2003) 130] is examined with the German financial index DAX. Based on a realistic assumption, we introduce a dynamic feedback interaction to the Eguiluz–Zimmermann model [Phys. Rev. Lett.85 (2000) 5659]. Such an interaction generates a time correlation of volatility, and correctly produces the two-phase phenomenon.

Publisher

World Scientific Pub Co Pte Lt

Subject

Condensed Matter Physics,Statistical and Nonlinear Physics

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0217979204025555

Reference25 articles.

1. Scaling behaviour in the dynamics of an economic index

2. Turbulent cascades in foreign exchange markets

3. Turbulence and financial markets

4. Stock Market Crashes, Precursors and Replicas

5. Crossover in the Cont–Bouchaud percolation model for market fluctuations

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