A self-adapting herding model: The agent judge-abilities influence the dynamic behaviors

Linrong Dong

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 23, 5868-5873

Abstract: We propose a self-adapting herding model, in which the financial markets consist of agent clusters with different sizes and market desires. The ratio of successful exchange and merger depends on the volatility of the market and the market desires of the agent clusters. The desires are assigned in term of the wealth of the agent clusters when they merge. After an exchange, the beneficial cluster’s desire keeps on the same, the losing one’s desire is altered which is correlative with the agent judge-ability. A parameter R is given to all agents to denote the judge-ability. The numerical calculation shows that the dynamic behaviors of the market are influenced distinctly by R, which includes the exponential magnitudes of the probability distribution of sizes of the agent clusters and the volatility autocorrelation of the returns, the intensity and frequency of the volatility.

Keywords: Judge-ability; Self-adapting; Herding model; Dynamic behavior; Econophysics (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:23:p:5868-5873

DOI: 10.1016/j.physa.2008.05.044

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