Two-phase phenomena, minority games, and herding models.
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.
Zheng
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Zhejiang Institute of Modern Physics, Zhejiang University, Hangzhou 310027, People's Republic of China and FB Physik, Universität-Halle, D-06099 Halle, Germany.
Qiu
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Ren
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