相互作用herding模型的非线性行为和动力学特性  

Nonlinear behavior and dynamic properties about Interacting herding model.

作　　者：董林荣[1] 

机构地区：[1]温州大学教育科学学院

出　　处：《浙江大学学报（理学版）》2006年第5期521-524,共4页Journal of Zhejiang University（Science Edition）

摘　　要：相互作用herding模型定性上能很好地呈现一些真实的经济规律,但定量上与真实的市场还有一定的距离,特别是收益绝对值的自关联衰退得太快.通过数值模拟研究发现该模型在它的参数取某些特定值时具有特有的非线性行为和动力学特性.此时,它不仅重现该模型原有的动力学特性,并能展现出更接近真实的市场规律,其中收益绝对值表现出长程关联,呈现出幂指数分布,它的幂明显变小,落在真实的市场规律范围内.Interacting herding model could capture some important properties of real market qualitatively, but it has some distance to real market quantitatively. Especially, the volatility auto-correlation decayed too rapidly in previous study. In present study, it is discovered that the model has unique nonlinear behaviors and dynamic properties when its parameters are chosen on some special values by the computer simulation. It not only includes all dynamic properties formerly, but also exhibits some rules closer to real market. Here, in this model, the volatility auto-correlation shows a power-law behavior, indicating a long-range time correlation, whose exponent decreases significantly and falls in the extent of real market.

关 键 词：金融物理 相互作用herding模型 高阶 非线性行为 

分 类 号：O411[理学—理论物理]