Network formation in a multi-asset artificial stock market

Songtao Wu, Jianmin He (), Shouwei Li and Chao Wang
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Songtao Wu: School of Economics and Management, Southeast University
Jianmin He: School of Economics and Management, Southeast University
Shouwei Li: School of Economics and Management, Southeast University
Chao Wang: School of Economics and Management, Southeast University

The European Physical Journal B: Condensed Matter and Complex Systems, 2018, vol. 91, issue 4, 1-10

Abstract: Abstract A multi-asset artificial stock market is developed. In the market, stocks are assigned to a number of sectors and traded by heterogeneous investors. The mechanism of continuous double auction is employed to clear order book and form daily closed prices. Simulation results of prices at the sector level show an intra-sector similarity and inter-sector distinctiveness, and returns of individual stocks have stylized facts that are ubiquitous in the real-world stock market. We find that the market risk factor has critical impact on both network topology transition and connection formation, and that sector risk factors account for the formation of intra-sector links and sector-based local interaction. In addition, the number of community in threshold-based networks is correlated negatively and positively with the value of correlation coefficients and the ratio of intra-sector links, which are respectively determined by intensity of sector risk factors and the number of sectors.

Keywords: Statistical; and; Nonlinear; Physics (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1140/epjb/e2018-80384-6

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