Financial market model based on self-organized percolation  

作　　者：YANG Chunxia WANG Jie ZHOU Tao LIU Jun XU Min ZHOU Peiling WANG Binghong 

机构地区：[1]Department of Electronic Science and Technology, University of Science and Technology of China, Hefei 230026, China [2]Department of Modem Physics, University of Science and Technology of China, Hefei 230026, China [3]Graduate Program of Bioengineering, National University of Singapore, Singapore

出　　处：《Chinese Science Bulletin》2005年第19期2140-2144,共5页

基　　金：Th is work was supported by the National Natural Science Foundation of China (Grant Nos． 70171053． 70271070，70471033& 10472ll61);the Specialized Research Fund for the Doctoral Program of Higher Education (SRFDP No．20020358009); the Foundation for Graduate Students of University of Science and Tech—nology of China(Grant No．KD 200408)．

摘　　要：Starting with the self-organized evolution of the trader group’s structure, a parsimonious percolation model for stock market is established, which can be considered as a kind of betterment of the Cont-Bouchaud model. The return distribution of the present model obeys Lévy form in the center and displays fat-tail property, in accord with the styl-ized facts observed in real-life financial time series. Fur-thermore, this model reveals the power-law relationship be-tween the peak value of the probability distribution and the time scales, in agreement with the empirical studies on the Hang Seng Index.Starting with the self-organized evolution of the trader group＇s structure, a parsimonious percolation model for stock market is established, which can be considered as a kind of betterment of the Cont-Bouchaud model. The return distribution of the present model obeys Lévy form in the center and displays fat-tail property, in accord with the stylized facts observed in real-life financial time series. Furthermore, this model reveals the power-law relationship between the peak value of the probability distribution and the time scales, in agreement with the empirical studies on the Hang Seng Index.

关 键 词：金融市场模型 自组织过滤 Lévy分布 行业组织 概率分布 

分 类 号：F830.9[经济管理—金融学]