Financial market model based on self-organized percolation

被引：9
|
作者：
Yang, CX
Wang, J
Zhou, T
Liu, J
Xu, M
Zhou, PL
Wang, BH [1 ]
机构：
[1] Univ Sci & Technol China, Dept Modern Phys, Hefei 230026, Peoples R China
[2] Univ Sci & Technol China, Dept Elect Sci & Technol, Hefei 230026, Peoples R China
[3] Natl Univ Singapore, Grad Program Bioengn, Singapore 117548, Singapore
来源：
CHINESE SCIENCE BULLETIN | 2005年 / 50卷 / 19期
基金：
中国国家自然科学基金; 高等学校博士学科点专项科研基金;
关键词：
percolation; self-organization; Levy distribution; multiagent; financial market model;
D O I：
10.1360/982005-486
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
Starting with the self-organized evolution of the trader group's structure, a parsimonious percolation model for stock market is established, which can be considered as a kind of betterment of the Cont-Bouchaud model. The return distribution of the present model obeys Levy form in the center and displays fat-tail property, in accord with the stylized facts observed in real-life financial time series. Furthermore, this model reveals the power-law relationship between the peak value of the probability distribution and the time scales, in agreement with the empirical studies on the Hang Seng Index.
引用
收藏
页码：2140 / 2144
页数：5
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