Evolutionary percolation model of stock market with variable agent number

Jie Wang, Chun-Xia Yang, Pei-Ling Zhou, Ying-Di Jin, Tao Zhou and Bing-Hong Wang

Physica A: Statistical Mechanics and its Applications, 2005, vol. 354, issue C, 505-517

Abstract: As a typical representation of complex systems studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions’ spreading. In this model, agents congregate to form some clusters, which may grow or collapse with the evolution of the system. To mimic an open market, we allow some to participate in or exit the market suggesting that the number of the agents would fluctuate. Simulation results show that the large events are frequent in the fluctuations of the stock price generated by the artificial stock market when compared with a normal process and the price return distribution is a lévy distribution in the central part followed by an approximately exponential truncation.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:354:y:2005:i:c:p:505-517

DOI: 10.1016/j.physa.2005.02.035

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