Preprint Article Version 1 This version is not peer-reviewed

Market of Stocks During Crisis Looks Like a Flock of Birds

Version 1 : Received: 15 July 2020 / Approved: 20 July 2020 / Online: 20 July 2020 (07:34:29 CEST)

How to cite: Afsharizand, B.; H. Chaghoei, P.; A. Kordbacheh, A.; Trufanov, A.; Jafari, G. Market of Stocks During Crisis Looks Like a Flock of Birds. Preprints 2020, 2020070455 (doi: 10.20944/preprints202007.0455.v1). Afsharizand, B.; H. Chaghoei, P.; A. Kordbacheh, A.; Trufanov, A.; Jafari, G. Market of Stocks During Crisis Looks Like a Flock of Birds. Preprints 2020, 2020070455 (doi: 10.20944/preprints202007.0455.v1).

Abstract

According to its inner property, a crisis in the financial market can be considered as a collective behavior phenomenon. Through the prism of collective behavior, the crisis does not happen if the companies are independent of each other. In this work, cooperative movement processes in a stock market are investigated in a manner similar to that Vicsek first described collective behavior for self-propelled entities. To this end, a phase space is defined as the one in which the return of volume of transactions versus return of price is represented with each share in each day corresponding to a unique point in the space. The findings of the observation show that during times of crisis, the phase space is limited with the vector velocity of shares in the same direction. In contrast, on a regular day, the phase space is entirely accessible, with vector velocity aligned randomly. Moreover, in line with the Vicsek model, an order parameter is introduced, which evaluates the cooperative effects for the shares so that the higher the value of this parameter, the stronger the collective behavior of the shares.

Subject Areas

collective behavior; vicsek model; financial crisis

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