Please use this identifier to cite or link to this item: https://doi.org/10.1360/982005-486
Title: Financial market model based on self-organized percolation
Authors: Yang, C.
Wang, J.
Zhou, T.
Liu, J. 
Xu, M.
Zhou, P.
Wang, B.
Keywords: Financial market model
Lévy istribution
Multi-agent
Percolation
Self-organization
Issue Date: 2005
Citation: Yang, C., Wang, J., Zhou, T., Liu, J., Xu, M., Zhou, P., Wang, B. (2005). Financial market model based on self-organized percolation. Chinese Science Bulletin 50 (19) : 2140-2144. ScholarBank@NUS Repository. https://doi.org/10.1360/982005-486
Abstract: 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.
Source Title: Chinese Science Bulletin
URI: http://scholarbank.nus.edu.sg/handle/10635/115730
ISSN: 10016538
DOI: 10.1360/982005-486
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