Financial market model based on self-organized percolation

作     者：YANG Chunxia1, WANG Jie1, ZHOU Tao1,2, LIU Jun3, XU Min1, ZHOU Peiling1 & WANG Binghong2 1. Department of Electronic Science and Technology, University of Sci-ence and Technology of China, Hefei 230026, China 2. Department of Modern Physics, University of Science and Technology of China, Hefei 230026, China 3. Graduate Program of Bioengineering, National University of Singa-pore, Singapore 

出 版 物：《Science Bulletin》 (科学通报(英文版))

年 卷 期：2005年第19期

页      面：22-26页

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）] 

主　　题：percolation self-organization Lévy distribution multi-agent financial market model 

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.