期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 515, 期 -, 页码 762-770出版社
ELSEVIER
DOI: 10.1016/j.physa.2018.10.007
关键词
Econophysics; Sociophysics; Financial markets; Order-disorder transitions; Statistical mechanics of spin models
资金
- UPE, Brazil [PFA2017, PIAEXT2017]
- FACEPE, Brazil [APQ-0565-1.05/14]
- CAPES, Brazil
- CNPq, Brazil
- National Natural Science Foundation of China [61603011]
- International Postdoctoral Exchange Fellowship Program, China [20170016]
- Beijing Social Science Foundation, China [16JDGLC005]
- NSF, USA [PHY-1505000, CMMI-1125290, CHE-1213217]
- DTRA, USA [HDTRA1-14-1-0017]
- DOE, USA [DE-AC07-05Id14517]
We use a heterogeneous agent-based two-state sociophysics model to simulate financial markets. Focusing on stock market trader dynamics, we propose a model with two kinds of individual - the contrarian agent and the noise trader - in which the dynamics of buying and selling investors are governed by local and global interactions. We define an antiferromagnetic coupling that relates the option of contrarian agents to global magnetization and a ferromagnetic interaction that connects noise traders to their local neighborhood. Our model presents such stylized facts of real financial markets as clustered volatility, power-law distributed returns, and the long-time correlation of the absolute returns with exponential decay. We also observe that the distribution of logarithmic returns can be fitted by the Student's t distribution in which its degree of freedom changes with the percentage of contrarian agents in the market. (C) 2018 Elsevier B.V. All rights reserved.
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