Clustering Evolutionary Stock Market Model
arXiv:cond-mat/0412097 · doi:10.1016/j.physa.2005.02.035
Abstract
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which may grow or collapse with the evolution of the system. To mimic an open market, we allow some ones participate in or exit the market suggesting that the number of the agents would fluctuate. Simulation results show that the large events are frequent in the fluctuations of the stock price generated by the artificial stock market when compared with a normal process and the price return distribution is a \emph{lévy} distribution in the central part followed by an approximately exponential truncation.
9 pages, 8 figures
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Cited by in corpus (7)
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- Diffusion entropy analysis on the scaling behavior of financial markets
- Artificial intelligence meets minority game: toward optimal resource allocation
- Hierarchical structure of stock price fluctuations in financial markets
- Boolean Game on Scale-free Networks
- Trading Model with Pair Pattern Strategies
- Controlling herding in minority game systems