Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5102614 | Physica A: Statistical Mechanics and its Applications | 2017 | 10 Pages |
Abstract
Traditional economic theory is based on the assumption that traders are completely independent and rational; however, trading behavior in the real market is often coupled by various factors. This paper discusses behavioral coupling based on the stock index in the stock market, focusing on the convergence of traders' behavior, its effect on the correlation of stock returns and market volatility. We find that the behavioral consensus in the stock market, the correlation degree of stock returns, and the market volatility all exhibit significant phase transitions with stronger coupling.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Rong Ma, Yin Zhang, Honggang Li,