# Self-organized percolation model for stock market fluctuations

@article{Stauffer1999SelforganizedPM, title={Self-organized percolation model for stock market fluctuations}, author={Dietrich Stauffer and Didier Sornette}, journal={Physica A-statistical Mechanics and Its Applications}, year={1999}, volume={271}, pages={496-506} }

In the Cont–Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing the concentration controlling each cluster connectivity artificially at or close to the critical value, we propose that clusters shatter and aggregate continuously as the concentration evolves randomly, reflecting the incessant time evolution of groups of opinions and market moods. By the mechanism…

#### 168 Citations

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The Cont–Bouchaud percolation model is one of the simplest microsimulation models yet able to account for the main stylized fact of financial markets, e.g. fat tails of the histogram of log-returns.…

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