共查询到20条相似文献,搜索用时 15 毫秒
1.
S. C. Wang J. J. Tseng C. C. Tai K. H. Lai W. S. Wu S. H. Chen S. P. Li 《The European Physical Journal B - Condensed Matter and Complex Systems》2008,62(1):105-111
Many systems of different nature exhibit scale free behaviors. Economic
systems with power law distribution in the wealth are one of the examples.
To better understand the working behind the complexity, we undertook an
experiment recording the interactions between market participants.
A Web server was setup to administer the exchange of
futures contracts whose liquidation prices were coupled to event outcomes.
After free registration, participants started trading to compete for
the money prizes upon maturity of the futures contracts at the end of
the experiment. The evolving `cash' flow
network was reconstructed from the transactions between players.
We show that the network topology is hierarchical, disassortative and
small-world with a power law exponent of
1.02±0.09 in the degree distribution after an exponential decay correction.
The small-world property emerged early in the experiment while the number
of participants was still small.
We also show power law-like distributions of the net incomes and
inter-transaction time intervals. Big winners and losers are associated with
high degree, high betweenness centrality,
low clustering coefficient and low degree-correlation. We identify communities
in the network as groups of the like-minded. The distribution of the
community sizes is shown to be power-law distributed with an exponent of
1.19±0.16. 相似文献
2.
Z.-Q. Jiang L. Guo W.-X. Zhou 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,57(3):347-355
A phenomenological investigation of the endogenous and
exogenous dynamics in the fluctuations of capital fluxes is carried
out on the Chinese stock market using mean-variance analysis,
fluctuation analysis, and their generalizations to higher orders.
Non-universal dynamics have been found not only in the scaling
exponent α, which is different from the universal values 1/2
and 1, but also in the distributions of the ratio η=
σexo / σendo of individual stocks. Both
the scaling exponent α of fluctuations and the Hurst exponent
Hi increase in logarithmic form with the time scale Δt
and the mean traded value per minute 〈fi 〉,
respectively. We find that the scaling exponent αendo
of the endogenous fluctuations is independent of the time scale.
Multiscaling and multifractal features are observed in the data as
well. However, the inhomogeneous impact model is not verified. 相似文献
3.
O. S. Klass O. Biham M. Levy O. Malcai S. Solomon 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,55(2):143-147
Statistical regularities at
the top end of the wealth distribution in the United States are
examined using the Forbes 400 lists of richest Americans,
published between 1988 and 2003.
It is found that the wealths are distributed according to a power-law
(Pareto) distribution.
This result is explained using a
simple stochastic model
of multiple investors that incorporates the
efficient market hypothesis
as well as the multiplicative nature of financial market fluctuations. 相似文献
4.
W. Q. Duan 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,59(2):271-276
Identifying universal patterns in complex economic
systems can reveal the dynamics and organizing principles underlying the
process of system evolution. We investigate the scaling behaviours that have
emerged in the international trade system by describing them as a series of
evolving weighted trade networks. The maximum-flow spanning trees (constructed by maximizing the total
weight of the edges) of these networks exhibit two universal scaling
exponents: (1) topological scaling exponent η = 1.30 and (2) flow
scaling exponent ζ = 1.03. 相似文献
5.
F. Wang P. Weber K. Yamasaki S. Havlin H. E. Stanley 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,55(2):123-133
We discuss recent results concerning statistical regularities in the
return intervals of volatility in financial markets. In particular, we
show how the analysis of volatility return intervals, defined as the
time between two volatilities larger than a given threshold, can help
to get a better understanding of the behavior of financial time
series. We find scaling in the distribution of return intervals for
thresholds ranging over a factor of 25, from 0.6 to 15 standard
deviations, and also for various time windows from one minute up to
390 min (an entire trading day). Moreover, these results are
universal for different stocks, commodities, interest rates as well as
currencies. We also analyze the memory in the return intervals which
relates to the memory in the volatility and find two scaling regimes,
ℓ<ℓ* with α1=0.64±0.02 and ℓ> ℓ*
with α2=0.92±0.04; these exponent values are similar to
results of Liu et al. for the volatility. As an application, we use
the scaling and memory properties of the return intervals to suggest a
possibly useful method for estimating risk. 相似文献
6.
W.-S. Jung F. Z. Wang S. Havlin T. Kaizoji H.-T. Moon H. E. Stanley 《The European Physical Journal B - Condensed Matter and Complex Systems》2008,62(1):113-119
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold q for the
Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated
by a scaling function that depends only on the ratio between the return interval τ and its mean 〈τ〉. We also find memory effects
such that a large (or small) return interval follows a large (or small) interval by investigating the conditional distribution
and mean return interval. The results are similar to previous studies of other markets and indicate that similar statistical
features appear in different financial markets. We also compare our results between the period before and after the big crash
at the end of 1989. We find that scaling and memory effects of the return intervals show similar features although the statistical
properties of the returns are different. 相似文献
7.
I. Vodenska-Chitkushev F. Z. Wang P. Weber K. Yamasaki S. Havlin H. E. Stanley 《The European Physical Journal B - Condensed Matter and Complex Systems》2008,61(2):217-223
We analyze the S&P 500 index data for the 13-year period, from
January 1, 1984 to December 31, 1996, with one data point every 10
min. For this database, we study the distribution and clustering
of volatility return intervals, which are defined as the time
intervals between successive volatilities above a certain threshold
q. We find that the long memory in the volatility leads to a
clustering of above-median as well as below-median return intervals.
In addition, it turns out that the short return intervals form
larger clusters compared to the long return intervals. When
comparing the empirical results to the ARMA-FIGARCH and fBm models
for volatility, we find that the fBm model predicts scaling better
than the ARMA-FIGARCH model, which is consistent with the argument
that both ARMA-FIGARCH and fBm capture the long-term dependence in
return intervals to a certain extent, but only fBm accounts for the
scaling. We perform the Student's t-test to compare the empirical
data with the shuffled records, ARMA-FIGARCH and fBm. We analyze
separately the clusters of above-median return intervals and the
clusters of below-median return intervals for different thresholds
q. We find that the empirical data are statistically different
from the shuffled data for all thresholds q. Our results also
suggest that the ARMA-FIGARCH model is statistically different from
the S&P 500 for intermediate q for both above-median and
below-median clusters, while fBm is statistically different from
S&P 500 for small and large q for above-median clusters and for
small q for below-median clusters. Neither model can fully explain
the entire regime of q studied. 相似文献
8.
Z. Eisler J. Kertész 《The European Physical Journal B - Condensed Matter and Complex Systems》2006,51(1):145-154
We reanalyze high resolution data from the New York Stock
Exchange and find a monotonic (but not power law) variation of the mean value per trade,
the mean number of trades per minute and the mean trading activity
with company capitalization. We show that the second moment of the
traded value distribution is finite. Consequently, the Hurst
exponents for the corresponding time series can be calculated. These
are, however, non-universal: The persistence grows with larger
capitalization and this results in a logarithmically increasing Hurst exponent. A similar
trend is displayed by intertrade time intervals.
Finally, we demonstrate that the distribution of the intertrade times is
better described by a multiscaling ansatz than by simple gap scaling. 相似文献
9.
T. S. Evans 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,56(1):65-69
Evolving networks with a constant number of edges may be
modelled using a rewiring process. These models are used to
describe many real-world processes including the evolution of
cultural artifacts such as family names, the evolution of gene
variations, and the popularity of strategies in simple
econophysics models such as the minority game. The model is
closely related to Urn models used for glasses, quantum gravity
and wealth distributions. The full mean field equation for the
degree distribution is found and its exact solution and generating
solution are given. 相似文献
10.
G.-F. Gu W.-X. Zhou 《The European Physical Journal B - Condensed Matter and Complex Systems》2009,67(4):585-592
Recently, Mike and Farmer have constructed a very powerful
and realistic behavioral model to mimick the dynamic process of
stock price formation based on the empirical regularities of order
placement and cancelation in a purely order-driven market, which can
successfully reproduce the whole distribution of returns, not only
the well-known power-law tails, together with several other
important stylized facts. There are three key ingredients in the
Mike-Farmer (MF) model: the long memory of order signs characterized
by the Hurst index Hs, the distribution of relative order prices
x in reference to the same best price described by a Student
distribution (or Tsallis’ q-Gaussian), and the dynamics of order
cancelation. They showed that different values of the Hurst index
Hs and the freedom degree αx of the Student distribution
can always produce power-law tails in the return distribution
fr(r) with different tail exponent αr. In this paper, we
study the origin of the power-law tails of the return distribution
fr(r) in the MF model, based on extensive simulations with
different combinations of the left part L(x) for x < 0 and the
right part R(x) for x > 0 of fx(x). We find that power-law
tails appear only when L(x) has a power-law tail, no matter R(x)
has a power-law tail or not. In addition, we find that the
distributions of returns in the MF model at different timescales can
be well modeled by the Student distributions, whose tail exponents
are close to the well-known cubic law and increase with the
timescale. 相似文献
11.
R. Kitt J. Kalda 《The European Physical Journal B - Condensed Matter and Complex Systems》2006,50(1-2):141-145
The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings
due to non-Gaussian security returns are outlined.
A method is proposed to minimise the likelihood of extreme non-Gaussian drawdowns of the portfolio value.
The theory is called Leptokurtic, because it minimises the effects from “fat tails” of returns. The leptokurtic portfolio
theory provides an optimal portfolio for investors, who define their risk-aversion as unwillingness to experience sharp drawdowns
in asset prices. Two types of risks in asset returns are defined: a fluctuation risk, that has Gaussian distribution, and
a drawdown risk, that deals with distribution tails. These risks are quantitatively measured by defining the “noise kernel”
— an ellipsoidal cloud of points in the space of asset returns.
The size of the ellipse is controlled with the threshold parameter: the larger the threshold parameter, the larger return
are accepted for investors as normal fluctuations.
The return vectors falling into the kernel are used for calculation of fluctuation risk. Analogously, the data points falling
outside the kernel are used for the calculation of drawdown risks. As a result the portfolio optimisation problem becomes
three-dimensional: in addition to the return, there are two types of risks involved. Optimal portfolio for drawdown-averse
investors is the portfolio minimising variance outside the noise kernel. The theory has been tested with MSCI North America,
Europe and Pacific total return stock indices. 相似文献
12.
G.-H. Mu W. Chen J. Kertész W.-X. Zhou 《The European Physical Journal B - Condensed Matter and Complex Systems》2009,68(1):145-152
The distributions of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese
stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We observe that the size distribution of trades for individualstocks
exhibits jumps, which is caused by the number preference of traders when placing orders. We analyze the applicability of the
“q-Gamma” function for fitting the distribution by the Cramér-von Mises criterion. The empirical PDFs of tradingvolumes at
different timescales Δt ranging from 1 min to 240 min can be well modeled. The applicability of the q-Gamma functions for
multiple trades is restricted to the transaction numbers Δn≤ 8. We find that all the PDFs have power-law tails for large volumes.
Using careful estimation of the average tail exponents α of the distributions of trade sizes and trading volumes, we get α>
2, well outside the Lévy regime. 相似文献
13.
Stylized facts from a threshold-based heterogeneous agent model 总被引:1,自引:0,他引:1
R. Cross M. Grinfeld H. Lamba T. Seaman 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,57(2):213-218
A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to
do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour suggested by
the efficient market hypothesis (EMH).
By introducing different propensities into a baseline model that displays EMH behaviour, one can attempt to isolate their
effects upon the market dynamics.
The simulation results indicate that the introduction of a herding propensity results in excess kurtosis and power-law decay
consistent with those observed in actual return distributions, but not in significant long-term volatility correlations. Possible
alternatives for introducing such long-term volatility correlations are then identified and discussed. 相似文献
14.
S. Solomon P. Richmond 《The European Physical Journal B - Condensed Matter and Complex Systems》2002,27(2):257-261
In recent years we have found that logistic systems of the Generalized Lotka-Volterra type (GLV) describing statistical systems
of auto-catalytic elements posses power law distributions of the Pareto-Zipf type. In particular, when applied to economic
systems, GLV leads to power laws in the relative individual wealth distribution and in market returns. These power laws and
their exponent α are invariant to arbitrary variations in the total wealth of the system and to other endogenously and exogenously
induced variations.
Received 31 December 2001 相似文献
15.
F. Petroni M. Serva 《The European Physical Journal B - Condensed Matter and Complex Systems》2006,51(4):601-608
The present study shows how the information on `hidden' market variables effects optimal investment strategies. We take the
point of view of two investors, one who has access to the hidden variables and one who only knows the quotes of a given asset.
Following Kelly's theory on investment strategies, the Shannon information and the doubling investment rate are quantified
for both investors. Thanks to his privileged knowledge, the first investor can follow a better investment strategy. Nevertheless,
the second investor can extract some of the hidden information looking at the past history of the asset variable. Unfortunately,
due to the complexity of his strategy, this investor will have computational difficulties when he tries to apply it. He will
than follow a simplified strategy, based only on the average sign of the last l quotes of the asset. This results have been
tested with some Monte Carlo simulations. 相似文献
16.
I. Simonsen P. T.H. Ahlgren M. H. Jensen R. Donangelo K. Sneppen 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,57(2):153-158
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper,
we
discuss asymmetries in short term price movements that can not be
associated with a long term positive trend. These empirical
asymmetries predict that stock index drops are more common on a
relatively short time scale than the corresponding raises. We
present several empirical examples of such asymmetries. Furthermore,
a simple model featuring occasional short periods of synchronized
dropping prices for all stocks constituting the index is introduced
with the aim of explaining these facts. The collective negative
price movements are imagined triggered by external factors in our
society, as well as internal to the economy, that create fear of the
future among investors. This is parameterized by a “fear factor”
defining the frequency of synchronized events. It is demonstrated
that such a simple fear factor model can reproduce several empirical
facts concerning index asymmetries. It is also pointed out that in
its simplest form, the model has certain shortcomings. 相似文献
17.
M. Bartolozzi 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,57(3):337-345
Avalanches, or Avalanche-like, events are often
observed in the dynamical behaviour of many complex systems which
span from solar flaring to the Earth's crust dynamics and from
traffic flows to financial markets. Self-organized criticality
(SOC) is one of the most popular theories able to explain this
intermittent charge/discharge behaviour. Despite a large amount of
theoretical work, empirical tests for SOC are still in their
infancy. In the present paper we address the common problem of
revealing SOC from a simple time series without having much
information about the underlying system. As a working example we
use a modified version of the multifractal random walk originally
proposed as a model for the stock market dynamics. The study
reveals, despite the lack of the typical ingredients of SOC, an
avalanche-like dynamics similar to that of many physical systems.
While, on one hand, the results confirm the relevance of cascade
models in representing turbulent-like phenomena, on the other,
they also raise the question about the current state of
reliability of SOC inference from time series analysis. 相似文献
18.
S. Alfarano T. Lux F. Wagner 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,55(2):183-187
The present paper expands on recent attempts at
estimating the parameters of simple interacting-agent models of
financial markets [S. Alfarano, T. Lux, F. Wagner, Computational Economics 26, 19 (2005); S. Alfarano, T. Lux, F. Wagner, in Funktionsf?higkeit und
Stabilit?t von Finanzm?rkten, edited by W. Franz, H. Ramser,
M. Stadler (Mohr Siebeck, Tübingen, 2005), pp. 241–254]. Here we
provide additional evidence by (i) investigating a large sample of
individual stocks from the Tokyo Stock Exchange, and (ii)
comparing results from the baseline noise trader/fundamentalist
model of [S. Alfarano, T. Lux, F. Wagner, Computational Economics 26, 19 (2005)] with those obtained from an even
simpler version with a preponderance of noise trader behaviour. As
it turns out, this somewhat more parsimonious “maximally skewed”
variant is often not rejected in favor of the more complex
version. We also find that all stocks are dominated by noise
trader behaviour irrespective of whether the data prefer the
skewed or the baseline version of our model. 相似文献
19.
N. Sazuka 《The European Physical Journal B - Condensed Matter and Complex Systems》2006,50(1-2):129-131
A non-trivial probability structure is evident in the binary data extracted from the up/down price movements of very high
frequency data such as tick-by-tick data for USD/JPY. In this paper, we analyze the Sony bank USD/JPY rates, ignoring the
small deviations from the market price. We then show there is a similar non-trivial probability structure in the Sony bank
rate, in spite of the Sony bank rate's having less frequent and larger deviations than tick-by-tick data. However, this probability
structure is not found in the data which has been sampled from tick-by-tick data at the same rate as the Sony bank rate. Therefore,
the method of generating the Sony bank rate from the market rate has the potential for practical use since the method retains
the probability structure as the sampling frequency decreases. 相似文献
20.
S. Ciliberti M. Mézard 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,57(2):175-180
We use a replica approach to deal with portfolio optimization problems. A
given risk measure is minimized using empirical estimates of asset values
correlations. We study the phase transition which happens when the time
series is too short with respect to the size of the portfolio. We also study
the noise sensitivity of portfolio allocation when this transition is
approached. We consider explicitely the cases where the absolute deviation
and the conditional value-at-risk are chosen as a risk measure. We show how
the replica method can study a wide range of risk measures, and deal with
various types of time series correlations, including realistic ones with
volatility clustering. 相似文献