Study of market model describing the contrary behaviors of informed and uninformed agents: Being minority and being majority
文献类型：期刊论文
| 作者 | Zhang, Yu-Xia1,2; Liao, Hao2,5; Medo, Matus2; Shang, Ming-Sheng2,3 ; Yeung, Chi Ho4
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| 刊名 | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
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| 出版日期 | 2016-05-15 |
| 卷号 | 450页码:486-496 |
| 关键词 | Contrary behavior Risk and profit Competition system |
| ISSN号 | 0378-4371 |
| DOI | 10.1016/j.physa.2016.01.041 |
| 通讯作者 | Liao, H ; Medo, M (reprint author), Univ Fribourg, Dept Phys, CH-1700 Fribourg, Switzerland. ; Yeung, CH (reprint author), Hong Kong Inst Educ, Dept Sci & Environm Studies, Hong Kong, Hong Kong, Peoples R China. ; Liao, H (reprint author), Shenzhen Univ, Coll Comp Sci & Software Engn, Shenzhen 518060, Peoples R China. |
| 英文摘要 | In this paper we analyze the contrary behaviors of the informed investors and uniformed investors, and then construct a competition model with two groups of agents, namely agents who intend to stay in minority and those who intend to stay in majority. We find two kinds of competitions, inter- and intra-groups. The model shows periodic fluctuation feature. The average distribution of strategies illustrates a prominent central peak which is relevant to the peak-fat-tail character of price change distribution in stock markets. Furthermore, in the modified model the tolerance time parameter makes the agents diversified. Finally, we compare the strategies distribution with the price change distribution in real stock market, and we conclude that contrary behavior rules and tolerance time parameter are indeed valid in the description of market model. (C) 2016 Elsevier B.V. All rights reserved. |
| 资助项目 | Fundamental Research Funds for the Central Universities[2014ZM0079] ; Fundamental Research Funds for the Central Universities[2014ZZ0070] ; Fundamental Research Funds for the Central Universities[2015ZZ056] ; National Natural Science Foundation of China[61503140] ; National Natural Science Foundation of China[11205061] ; National Natural Science Foundation of China[11247253] ; National Natural Science Foundation of China[11504114] ; National Natural Science Foundation of China[11547040] ; National Natural Science Foundation of China[61176061] ; National Natural Science Foundation of China[61474046] ; EU FP7 Grant[611272] ; China Scholarship Council ; Internal Research Grant of HKIEd, Science and Technolgy Innovation Commission of Shenzhen[RG71/2013-2014R] ; Internal Research Grant of HKIEd, Science and Technolgy Innovation Commission of Shenzhen[JCYJ20150625101524056] |
| WOS研究方向 | Physics |
| 语种 | 英语 |
| WOS记录号 | WOS:000372387800045 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://119.78.100.138/handle/2HOD01W0/2361]  |
| 专题 | 大数据挖掘及应用中心 |
| 通讯作者 | Liao, Hao; Medo, Matus; Yeung, Chi Ho |
| 作者单位 | 1.S China Univ Technol, Phys & Photoelect Sch, Guangzhou 510640, Guangdong, Peoples R China 2.Univ Fribourg, Dept Phys, CH-1700 Fribourg, Switzerland 3.Chinese Acad Sci, Chongqing Inst Green & Intelligent Technol, Chongqing 400714, Peoples R China 4.Hong Kong Inst Educ, Dept Sci & Environm Studies, Hong Kong, Hong Kong, Peoples R China 5.Shenzhen Univ, Coll Comp Sci & Software Engn, Shenzhen 518060, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zhang, Yu-Xia,Liao, Hao,Medo, Matus,et al. Study of market model describing the contrary behaviors of informed and uninformed agents: Being minority and being majority[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2016,450:486-496. |
| APA | Zhang, Yu-Xia,Liao, Hao,Medo, Matus,Shang, Ming-Sheng,&Yeung, Chi Ho.(2016).Study of market model describing the contrary behaviors of informed and uninformed agents: Being minority and being majority.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,450,486-496. |
| MLA | Zhang, Yu-Xia,et al."Study of market model describing the contrary behaviors of informed and uninformed agents: Being minority and being majority".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 450(2016):486-496. |
入库方式： OAI收割
来源：重庆绿色智能技术研究院
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