TY - JOUR
T1 - Finite-size effect in the Eguíluz and Zimmermann model of herd formation and information transmission
AU - Xie, Yanbo
AU - Wang, Bing Hong
AU - Quan, Hongjun
AU - Yang, Weisong
AU - Hui, P. M.
PY - 2002
Y1 - 2002
N2 - The Eguíluz and Zimmermann model of information transmission and herd formation in a financial market is studied analytically. Starting from a formal description on the rate of change of the system from one partition of agents in the system to another, a mean-field theory is systematically developed. The validity of the mean-field theory is carefully studied against fluctuations. When the number of agents N is sufficiently large and the probability of making a transaction [formula presented] finite-size effect is found to be significant. In this case, the system has a large probability of becoming a single cluster containing all the agents. For small clusters of agents, the cluster size distribution still obeys a power law but with a much reduced magnitude. The exponent is found to be modified to the value of [formula presented] by the fluctuation effects from the value of [formula presented] in the mean-field theory.
AB - The Eguíluz and Zimmermann model of information transmission and herd formation in a financial market is studied analytically. Starting from a formal description on the rate of change of the system from one partition of agents in the system to another, a mean-field theory is systematically developed. The validity of the mean-field theory is carefully studied against fluctuations. When the number of agents N is sufficiently large and the probability of making a transaction [formula presented] finite-size effect is found to be significant. In this case, the system has a large probability of becoming a single cluster containing all the agents. For small clusters of agents, the cluster size distribution still obeys a power law but with a much reduced magnitude. The exponent is found to be modified to the value of [formula presented] by the fluctuation effects from the value of [formula presented] in the mean-field theory.
UR - http://www.scopus.com/inward/record.url?scp=85035259361&partnerID=8YFLogxK
U2 - 10.1103/PhysRevE.65.046130
DO - 10.1103/PhysRevE.65.046130
M3 - 文章
C2 - 12005949
AN - SCOPUS:85035259361
SN - 1539-3755
VL - 65
SP - 6
JO - Physical Review E - Statistical, Nonlinear, and Soft Matter Physics
JF - Physical Review E - Statistical, Nonlinear, and Soft Matter Physics
IS - 4
ER -