本文選題：無標(biāo)度網(wǎng)絡(luò)　切入點：逾滲理論　出處：《中國科學(xué)技術(shù)大學(xué)學(xué)報》2014年01期 　論文類型：期刊論文

【摘要】：針對CB模型及其改進模型中由于規(guī)則網(wǎng)絡(luò)描述的均質(zhì)群體結(jié)構(gòu)與真實金融市場中投資者相互作用的異質(zhì)性相悖,提出基于表征異質(zhì)投資群體結(jié)構(gòu)的無標(biāo)度網(wǎng)絡(luò)的自組織金融模型.通過投資者在交易規(guī)則約束下的自組織聚簇行為,模擬金融市場的動態(tài)演化過程.模型生成的價格波動序列與實際股指具有相似的演化動力學(xué):價格收益的概率分布具有尖峰胖尾的特征,且它的中心峰值與時間尺度存在冪律關(guān)系,這表明價格波動序列的演化是一個自相似過程;易變性具有明顯的聚簇行為,說明價格波動序列具有連續(xù)的巨幅漲落和長程關(guān)聯(lián)性.這些統(tǒng)計特性與金融市場實證相符,驗證了模型的有效性.
[Abstract]:In view of the heterogeneity of investor interaction in real financial market, the homogeneous group structure described by regular network in CB model and its improved model is contrary to the heterogeneity of investor interaction in real financial market. This paper proposes a scale-free financial model based on scale-free network, which represents the structure of heterogeneous investment groups, through the self-organizing clustering behavior of investors under the constraint of trading rules. Simulation of the dynamic evolution of financial markets. The price volatility series generated by the model has similar evolutionary dynamics to the actual stock index: the probability distribution of price returns has the characteristics of spike and fat tail. And its central peak value has a power law relation with time scale, which indicates that the evolution of price fluctuation series is a self-similar process, and the variability has obvious clustering behavior. It is shown that the price volatility series has continuous large fluctuations and long term correlations. These statistical characteristics are consistent with the empirical results of the financial markets and verify the validity of the model.
【作者單位】： 中國科學(xué)技術(shù)大學(xué)電子科學(xué)與技術(shù)系;
【基金】：國家自然科學(xué)基金(61004102)資助
【分類號】：F830.9;O211.3

【參考文獻】

相關(guān)期刊論文 前2條

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本文編號：1644957