科研之友
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摘要
A multi-agent spin model for changes of prices in the stock market based on the Ising-like cellular automaton with interactions between traders randomly varying in time is investigated by means of Monte Carlo simulations. The structure of interactions has topology of a small-world network obtained from regular two-dimensional square lattices with various coordination numbers by randomly cutting and rewiring edges. Simulations of the model on regular lattices do not yield time series of logarithmic price returns with statistical properties comparable wit h the empirical ones. In contrast, in the c as e of networks wit h a certain degree of randomness for a wide range of parameters the time series of the logarithmic price returns exhibit intermittent bursting typical of volatility clustering. Also the tails of distributions of returns obey a power scaling law wit h exponents comparable to those obtained fro m the empirical data.
- 出版日期2008-7
