Market volatility and the distribution of mean cluster sizes for percolation

Authors
Stauffer, D
Citation
D. Stauffer, Market volatility and the distribution of mean cluster sizes for percolation, INT J MOD C, 11(3), 2000, pp. 519-524
Citations number
16
Categorie Soggetti
Physics
Journal title
INTERNATIONAL JOURNAL OF MODERN PHYSICS C
ISSN journal
01291831 → ACNP
Volume
11
Issue
3
Year of publication
2000
Pages
519 - 524
Database
ISI
SICI code
0129-1831(200005)11:3<519:MVATDO>2.0.ZU;2-7
Abstract
The tail of the distribution for the "mean cluster size" (susceptibility) a t the site percolation threshold is found by Monte Carlo simulations to be exponential. Similar distributions might be expected for the market volatil ity, if stock price fluctuations are described by Cont-Bouchaud percolation .