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Evolutionary percolation model of stock market with variable agent number

Author

Listed:
  • Wang, Jie
  • Yang, Chun-Xia
  • Zhou, Pei-Ling
  • Jin, Ying-Di
  • Zhou, Tao
  • Wang, Bing-Hong

Abstract

As a typical representation of complex systems 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 to 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 lévy distribution in the central part followed by an approximately exponential truncation.

Suggested Citation

  • Wang, Jie & Yang, Chun-Xia & Zhou, Pei-Ling & Jin, Ying-Di & Zhou, Tao & Wang, Bing-Hong, 2005. "Evolutionary percolation model of stock market with variable agent number," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 354(C), pages 505-517.
    • Handle: RePEc:eee:phsmap:v:354:y:2005:i:c:p:505-517
    DOI: 10.1016/j.physa.2005.02.035
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    References listed on IDEAS

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    1. W. Brian Arthur & Paul Tayler, "undated". "Asset Pricing Under Endogenous Expectations in an Artificial Stock Market," Computing in Economics and Finance 1997 57, Society for Computational Economics.
    2. Levy, Haim & Levy, Moshe & Solomon, Sorin, 2000. "Microscopic Simulation of Financial Markets," Elsevier Monographs, Elsevier, edition 1, number 9780124458901.
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    Cited by:

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    2. Schinckus, C., 2013. "Between complexity of modelling and modelling of complexity: An essay on econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3654-3665.
    3. Lux, Thomas & Alfarano, Simone, 2016. "Financial power laws: Empirical evidence, models, and mechanisms," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 3-18.
    4. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.

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