Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8205552 | Physics Letters A | 2013 | 19 Pages |
Abstract
We constructed an agent-based stock market model which concisely describe investorsʼ heterogeneity and adaptability by introducing price sensitivity and feedback time. Under different parameters, the peak and fat-tail property of return distribution is produced and the obtained statistic values coincide with empirical results: the center peak exponents range from â0.787 to â0.661, and the tail exponents range from â4.29 to â2.37. Besides, long-term correlation in volatility is examined by DFA1 method, and the obtained exponent α is 0.803, which also coincides with the exponent of 0.78 found in real market.
Related Topics
Physical Sciences and Engineering
Physics and Astronomy
Physics and Astronomy (General)
Authors
Chun-Xia Yang, Rui Wang, Sen Hu,