The Stock Market Model with Delayed Information Impact from a Socioeconomic View |
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Authors: | Zhiting Wang Guiyuan Shi Mingsheng Shang Yuxia Zhang |
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Affiliation: | 1.Physics and Photoelectricity School, South China University of Technology, Guangzhou 510640, China;2.International Academic Center of Complex Systems, Beijing Normal University at Zhuhai, Zhuhai 519087, China;3.Chongqing Institute of Green and Intelligent Technology, Chinese Academy of Sciences, Chongqing 400714, China; |
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Abstract: | Finding the critical factor and possible “Newton’s laws” in financial markets has been an important issue. However, with the development of information and communication technologies, financial models are becoming more realistic but complex, contradicting the objective law “Greatest truths are the simplest.” Therefore, this paper presents an evolutionary model independent of micro features and attempts to discover the most critical factor. In the model, information is the only critical factor, and stock price is the emergence of collective behavior. The statistical properties of the model are significantly similar to the real market. It also explains the correlations of stocks within an industry, which provides a new idea for studying critical factors and core structures in the financial markets. |
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Keywords: | econophysics financial complexity collective intelligence emergent property stock correlation detrended cross-correlation analysis |
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