Clustering Evolutionary Stock Market Model

Details Clustering Evolutionary Stock Market Model Clustering Evolutionary Stock Market Model

2004-12-04

arxiv.org/abs/cond-mat/0412097v1

Physica A 354, 505-517(2005)

Physics

Condensed Matter

Other Condensed Matter

9 pages, 8 figures

Scientific paper

10.1016/j.physa.2005.02.035

As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which may grow or collapse with the evolution of the system. To mimic an open market, we allow some ones participate in or exit the market suggesting that the number of the agents would fluctuate. Simulation results show that the large events are frequent in the fluctuations of the stock price generated by the artificial stock market when compared with a normal process and the price return distribution is a \emph{l\'{e}vy} distribution in the central part followed by an approximately exponential truncation.

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