| Financial market model based on self-organized percolation |
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| 作者姓名： | YANG Chunxia WANG Jie ZHOU Tao LIU Jun XU Min ZHOU Peiling & WANG Binghong . |
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| 作者单位： | YANG Chunxia1，WANG Jie1，ZHOU Tao1，2，LIU Jun3，XU Min1，ZHOU Peiling1 & WANG Binghong2 1. Department of Electronic Science and Technology，University of Sci-ence and Technology of China，Hefei 230026，China; 2. Department of Modern Physics，University of Science and Technology of China，Hefei 230026，China; 3. Graduate Program of Bioengineering，National University of Singa-pore，Singapore |
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| 摘 要： | Financial markets are typical complex systems in which the large-scale dynamical properties depend on the evolution of a large number of nonlinear-coupled subsys-tems. The efficient market hypothesis (EMH) based on rational expectation assumption (REA) considers the price of financial markets as random walk, thus the return dis-tribution obeys Gaussian form. However, the EMH suffers the impugnation on REA and the challenge of actual fi-nancial data that the real-life markets are of return…
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| 关 键 词： | percolation self-organization Lévy distribution multi-agent financial market model |
Financial market model based on self-organized percolation |
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| YANG Chunxia,WANG Jie,ZHOU Tao,,LIU Jun,XU Min,ZHOU Peiling & WANG Binghong ..Financial market model based on self-organized percolation[J].Chinese Science Bulletin,2005,50(19):2140-2144. |
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| Authors: | Chunxia Yang Jie Wang Tao Zhou Jun Liu Min Xu Peiling Zhou Binghong Wang |
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| Institution: | YANG Chunxia1,WANG Jie1,ZHOU Tao1,2,LIU Jun3,XU Min1,ZHOU Peiling1 & WANG Binghong2 1. Department of Electronic Science and Technology,University of Sci-ence and Technology of China,Hefei 230026,China, 2. Department of Modern Physics,University of Science and Technology of China,Hefei 230026,China, 3. Graduate Program of Bioengineering,National University of Singa-pore,Singapore |
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| Abstract: | 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 Lévy 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. |
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