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Study of market model describing the contrary behaviors of informed and uninformed agents: Being minority and being majority
Zhang, Yu-Xia1,2; Liao, Hao2,5; Medo, Matus2; Shang, Ming-Sheng2,3; Yeung, Chi Ho4
2016-05-15
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.
关键词Contrary behavior Risk and profit Competition system
DOI10.1016/j.physa.2016.01.041
发表期刊PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN0378-4371
卷号450页码:486-496
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.
收录类别SCI
WOS记录号WOS:000372387800045
语种英语