Traders’ behavioral coupling and market phase transition

Rong Ma, Yin Zhang and Honggang Li

Physica A: Statistical Mechanics and its Applications, 2017, vol. 486, issue C, 618-627

Abstract: Traditional economic theory is based on the assumption that traders are completely independent and rational; however, trading behavior in the real market is often coupled by various factors. This paper discusses behavioral coupling based on the stock index in the stock market, focusing on the convergence of traders’ behavior, its effect on the correlation of stock returns and market volatility. We find that the behavioral consensus in the stock market, the correlation degree of stock returns, and the market volatility all exhibit significant phase transitions with stronger coupling.

Keywords: Stock index; Market crash; Behavioral consensus; Phase transition (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:486:y:2017:i:c:p:618-627

DOI: 10.1016/j.physa.2017.05.072

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