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- Title
TWO-PHASE PHENOMENON IN FINANCIAL MARKETS.
- Authors
Hu, N.; Zheng, B.; Qiu, T.
- 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.
- Subjects
STOCK exchanges; MARKETS; FINANCIAL markets; PRICES; INDEX numbers (Economics); ECONOMIC indicators; ECONOMICS
- Publication
International Journal of Modern Physics B: Condensed Matter Physics; Statistical Physics; Applied Physics, 2004, Vol 18, Issue 17-19, p2492
- ISSN
0217-9792
- Publication type
Article
- DOI
10.1142/S0217979204025555