A Model of Synchronization for Self-Organized Crowding Behavior
arXiv:1612.01132
Abstract
This paper proposes a general model for synchronized crowding behavior. An order parameter is introduced to quantify the level of synchronization which is shown a function of percentage of agents in reactive state. Further, synchronization is shown to be driven by the most active agents with the highest volatility. A tipping point is identified when crowd becomes self-amplifying and unstable. By applying this model, financial bubbles, market momentum and volatility patterns are simulated.
21 pages, 6 figures, revised from 2006 working paper