Please use this identifier to cite or link to this item:
|Title:||Financial market model based on self-organized percolation|
|Keywords:||Financial market model|
|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|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on Jun 16, 2018
WEB OF SCIENCETM
checked on May 16, 2018
checked on Mar 11, 2018
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.