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. 2004 Apr;69(4 Pt 2):046115.
doi: 10.1103/PhysRevE.69.046115. Epub 2004 Apr 29.

Two-phase phenomena, minority games, and herding models

B Zheng  1 , T Qiu, F Ren
Affiliations

Two-phase phenomena, minority games, and herding models

B Zheng et al. Phys Rev E Stat Nonlin Soft Matter Phys. 2004 Apr.

Abstract

The recently discovered two-phase phenomenon in financial markets [Nature 421, 130 (2003)] is examined with the German financial index DAX, minority games, and dynamic herding models. It is observed that the two-phase phenomenon is an important characteristic of financial dynamics, independent of volatility clustering. An interacting herding model correctly produces the two-phase phenomenon.

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