کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
978850 | 933306 | 2008 | 6 صفحه PDF | دانلود رایگان |
We propose a self-adapting herding model, in which the financial markets consist of agent clusters with different sizes and market desires. The ratio of successful exchange and merger depends on the volatility of the market and the market desires of the agent clusters. The desires are assigned in term of the wealth of the agent clusters when they merge. After an exchange, the beneficial cluster’s desire keeps on the same, the losing one’s desire is altered which is correlative with the agent judge-ability. A parameter RR is given to all agents to denote the judge-ability. The numerical calculation shows that the dynamic behaviors of the market are influenced distinctly by RR, which includes the exponential magnitudes of the probability distribution of sizes of the agent clusters and the volatility autocorrelation of the returns, the intensity and frequency of the volatility.
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issue 23, 1 October 2008, Pages 5868–5873