Modeling the behavior proceeding market crash in a hierarchically organized financial market

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We consider the hierarchical model of financial crashes introduced by A. Johansen and D. Sornette which reproduces the log-periodic power law behavior of the price before the critical point. In order to build the generalization of this model we introduce the dependence of an influence exponent on an ultrametric distance between agents. Much attention is being paid to a problem of critical point universality which is investigated by comparison of probability density functions of the crash times corresponding to systems with various total numbers of agents.

Keywords: mathematical modeling, log periodic power law, ultrametric distance, hierarchical structure, financial crashes
Citation in English: Pivovarova A.S., Steryakov A.A. Modeling the behavior proceeding market crash in a hierarchically organized financial market // Computer Research and Modeling, 2011, vol. 3, no. 2, pp. 215-222
Citation in English: Pivovarova A.S., Steryakov A.A. Modeling the behavior proceeding market crash in a hierarchically organized financial market // Computer Research and Modeling, 2011, vol. 3, no. 2, pp. 215-222
DOI: 10.20537/2076-7633-2011-3-2-215-222
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