Financial market model based on self-organized percolation

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

作者机构：Department of Electronic Science and Technology University of Science and Technology of China Hefei 230026 China Department of Modem Physics University of Science and Technology of China Hefei 230026 China Graduate Program of Bioengineering National University of Singapore Singapore 

出 版 物：《Chinese Science Bulletin》 (Chin. Sci. Bull.)

年 卷 期：2005年第50卷第19期

页      面：2140-2144页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 

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) 

主　　题：金融市场模型 自组织过滤 Lévy分布 行业组织 概率分布 

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.