Non-universal scaling and dynamical feedback in generalized models of financial markets

作者：Zheng DF^*; Rodgers GJ; Hui PM; D'Hulst R

来源：Physica A: Statistical Mechanics and Its Applications , 2002, 303(1-2): 176-184.

DOI：10.1016/S0378-4371(01)00426-5

• non-universal
• demand feedback
• fragmentation and coagulation
• financial markets

We study self-organized models for information transmission and herd behavior in financial markets. Existing models are generalized to take into account the effect of size-dependent fragmentation and coagulation probabilities of groups of agents and to include a demand process. Non-universal scaling with a tunable exponent for the group size distribution is found in the resulting system. We also show that the fragmentation and coagulation probabilities of groups of agents have a strong influence on the average investment rate of the system.

• 出版日期2002-1-1
• 单位华南理工大学