A crisis in financial markets can be considered as a collective behaviour phenomenon. The collective behaviour is a complex behaviour which exists among a group of animals. The Vicsek model has been adapted to represent this complexity. A unique phase space has been introduced to represent all possible results of the model. The return of the transaction volumes versus the return of the closed price of each share has been used within the defined phase space. The findings show that the direction of the resultant velocity vectors of all share in this phase space act in the same direction when the financial crisis happens. By monitoring the market’s collective behaviour, it will be possible to gain more knowledge about the condition of the market days in crisis. This research aims to investigate the collective behaviour of stocks using the Vicsek model to study the condition of the market during the days in crisis.
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.
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