共查询到20条相似文献,搜索用时 15 毫秒
1.
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
2.
G.-F. Gu W. Chen W.-X. Zhou 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,57(1):81-87
The statistical properties of the bid-ask spread of a
frequently traded Chinese stock listed on the Shenzhen Stock
Exchange are investigated using the limit-order book data. Three
different definitions of spread are considered based on the time
right before transactions, the time whenever the highest buying
price or the lowest selling price changes, and a fixed time
interval. The results are qualitatively similar no matter linear
prices or logarithmic prices are used. The average spread exhibits
evident intraday patterns consisting of a big L-shape in morning
transactions and a small L-shape in the afternoon. The distributions
of the spread with different definitions decay as power laws. The
tail exponents of spreads at transaction level are well within the
interval (2,3) and that of average spreads are well in line with
the inverse cubic law for different time intervals. Based on the
detrended fluctuation analysis, we found the evidence of long memory
in the bid-ask spread time series for all three definitions, even
after the removal of the intraday pattern. Using the classical
box-counting approach for multifractal analysis, we show that the
time series of bid-ask spread do not possess multifractal nature. 相似文献
3.
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
4.
V. Alfi M. Cristelli L. Pietronero A. Zaccaria 《The European Physical Journal B - Condensed Matter and Complex Systems》2009,67(3):385-397
We introduce a minimal agent based model for financial markets to understand the nature and self-organization of the stylized
facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the most important
deviations of price time series from a random walk behavior. We focus on four essential ingredients: fundamentalist agents
which tend to stabilize the market; chartist agents which induce destabilization; analysis of price behavior for the two strategies;
herding behavior which governs the possibility of changing strategy. Bubbles and crashes correspond to situations dominated
by chartists, while fundamentalists provide a long time stability (on average). The stylized facts are shown to correspond
to an intermittent behavior which occurs only for a finite value of the number of agents N. Therefore they correspond to finite
size effects which, however, can occur at different time scales. We propose a new mechanism for the self-organization of this
state which is linked to the existence of a threshold for the agents to be active or not active. The feedback between price
fluctuations and number of active agents represents a crucial element for this state of self-organized intermittency. The
model can be easily generalized to consider more realistic variants. 相似文献
5.
J. Zhang H. Huang 《The European Physical Journal B - Condensed Matter and Complex Systems》2009,68(2):247-251
In order to describe the entangled network structure in polymer melts visually, we propose an evolving network model with
community structure. This network model grows according to the inner-community and inter-community preferential mechanisms
of both community sizes and node degrees. Numerical simulation results indicate that the cumulative distribution of community
size and node degree distribution follow power-law distributions P(S≥s)∼s-υ and P(k)∼k-γ respectively, with the exponents of υ≥1 and . 相似文献
6.
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
7.
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
8.
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
9.
I consider the problem of the optimal limit order price of a financial asset in the framework of the maximization of the utility
function of the investor. The analytical solution of the problem gives insight on the origin of the recently empirically observed
power law distribution of limit order prices. In the framework of the model, the most likely proximate cause of this power
law is a power law heterogeneity of traders' investment time horizons. 相似文献
10.
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
11.
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
12.
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
13.
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
14.
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
15.
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
16.
R. Stresing D. Lindenberger R. Kümmel 《The European Physical Journal B - Condensed Matter and Complex Systems》2008,66(2):279-287
Cointegration analysis is applied to the linear combinations of the time series of (the logarithms of) output, capital, labor,
and energy for Germany, Japan, and the USA since 1960.
The computed cointegration vectors represent the output elasticities of the aggregate energy-dependent Cobb-Douglas function.
The output elasticities give the economic weights of the production factors capital, labor, and energy. We find that they
are for labor much smaller and for energy much larger than the cost shares of these factors. In standard economic theory output
elasticities equal cost shares. Our heterodox findings support results obtained with LINEX production functions. 相似文献
17.
S.-Y. Ma S.-Q. Wang 《The European Physical Journal B - Condensed Matter and Complex Systems》2009,72(4):567-573
We show that a simple model of a spatially resolved
evolving economic system, which has a steady state under
simultaneous updating, shows stable oscillations in price when
updated asynchronously. The oscillations arise from a gradual
decline of the mean price due to competition among sellers competing
for the same resource. This lowers profitability and hence
population but is followed by a sharp rise as speculative sellers
invade the large un-inhabited areas. This cycle then begins again. 相似文献
18.
Y. Huang L. Wu S. Q. Zhu 《The European Physical Journal B - Condensed Matter and Complex Systems》2009,69(3):431-438
The interaction between the evolution of the game and the underlying network structure with evolving snowdrift game model
is investigated. The constructed network follows a power-law degree distribution typically showing scale-free feature. The
topological features of average path length, clustering coefficient, degree-degree correlations and the dynamical feature
of synchronizability are studied. The synchronizability of the constructed networks changes by the interaction. It will converge
to a certain value when sufficient new nodes are added. It is found
that initial payoffs of nodes greatly affect the synchronizability. When initial payoffs for players are equal, low common
initial payoffs may lead to more heterogeneity of the network and good
synchronizability. When initial payoffs follow certain distributions, better synchronizability is obtained compared to equal
initial payoff. The result is also true for phase synchronization of nonidentical oscillators. 相似文献
19.
J. B. Satinover D. Sornette 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,60(3):369-384
Human beings like to believe they are in control of their
destiny. This ubiquitous trait seems to increase motivation and persistence,
and is probably evolutionarily adaptive [J.D. Taylor, S.E. Brown, Psych. Bull. 103, 193 (1988); A. Bandura,
Self-efficacy: the exercise of control (WH Freeman, New
York, 1997)]. But how good really is our
ability to control? How successful is our track record in these areas? There
is little understanding of when and under what circumstances we may
over-estimate [E. Langer, J. Pers. Soc. Psych. 7, 185 (1975)] or even lose our ability to control and optimize outcomes,
especially when they are the result of aggregations of individual
optimization processes. Here, we demonstrate analytically using the theory
of Markov Chains and by numerical simulations in two classes of games, the
Time-Horizon Minority Game [M.L. Hart, P. Jefferies, N.F. Johnson, Phys. A 311, 275 (2002)] and the Parrondo Game
[J.M.R. Parrondo, G.P. Harmer, D. Abbott, Phys. Rev. Lett.
85, 5226 (2000); J.M.R. Parrondo, How to cheat a bad mathematician (ISI, Italy, 1996)], that agents
who optimize their strategy based on past information may actually perform
worse than non-optimizing agents. In other words, low-entropy (more
informative) strategies under-perform high-entropy (or random) strategies.
This provides a precise definition of the “illusion of control” in certain
set-ups a priori defined to emphasize the importance of optimization.
An erratum to this article is available at . 相似文献
20.
M. B. Gordon J. R. Iglesias V. Semeshenko J. P. Nadal 《The European Physical Journal B - Condensed Matter and Complex Systems》2009,68(1):133-144
Crime is an economically relevant activity. It may represent a mechanism of wealth distribution but also a social and economic
burden because of the interference with regular legal activities and the cost of the law enforcement system. Sometimes it
may be less costly for the society to allow for some level of criminality. However, a drawback of such a policy is that it
may lead to a high increase of criminal activity, that may become hard to reduce later on. Here we investigate the level of
law enforcement required to keep crime within acceptable limits. A sharp phase transition is observed as a function of the
probability of punishment. We also analyze other consequences of criminality as the growth of the economy, the inequality
in the wealth distribution (the Gini coefficient) and other relevant quantities under different scenarios of criminal activity
and probabilities of apprehension. 相似文献