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Regular version of the site

Book chapter

Modeling Financial Market Using Percolation Theory

P. 47-53.
Byachkova A.

Econophysics is a relatively new discipline. It is one of the most interesting and promising trends in modeling complex economic systems such as financial markets. In this paper we use the approach of econophysics to explain various mechanisms of price formation in the stock market. We study a model, which was proposed by Jean-Philippe Bouchaud and Dietrich Stauffer (Bouchaud 2002; Chang et al. 2002; Stauffer 2001; Stauffer and Sornette 1990), and used to describe the agents’ cooperation in the market. The most important point of this research is the calibration of the model, using real market conditions to proof the model’s possibility of setting out a real market pricing process

In book

Edited by: S. Ivliev, A. K. Bera, F. Lillo. NY: Springer, 2015.