An Evolution Model of Trading Behavior Based on Peer Effect in Networks
An Evolution Model of Trading Behavior Based on Peer Effect in Networks
复制标题
基于网络同伴效应的交易行为演化模型
DOI：
10.1155/2012/138178
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发表时间：
2012-05
影响因子：
1.4
通讯作者：
Zhuang, Ya-Ming
中科院分区：
文献类型：
--
作者：
Bian, Yue-Tang;Xu, Lu;Li, Jin-Sheng;He, Jian-Min;Zhuang, Ya-Ming
这项工作涉及股票市场交易行为演变的建模，这种演变会对价格和波动率的变动产生重大影响。基于投资者有限理性的假设，……（原句最后“tr”不完整）
This work concerns the modeling of evolvement of trading behavior in stock markets which can cause significant impact on the movements of prices and volatilities. Based on the assumption of the investors' limited rationality, the evolution mechanism of trading behavior is modeled according to peer effect in network, that investors are prone to imitate their neighbors' activity through comprehensive analysis on the neighboring preferred degree, self-psychological preference, and the network topology of the relationship among them. We investigate by mean-field analysis and extensive simulations the evolution of investors' trading behavior in various typical networks under different characteristics of peer effect. Our results indicate that the evolution of investors' behavior is affected by the network structure of stock market and the effect of neighboring preferred degree; the stability of equilibrium states of investors' behavior dynamics is directly related with the concavity and convexity of the peer effect function; connectivity and heterogeneity of the network play an important role in the evolution of the investment behavior in stock market.
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DOI：
--
发表时间：
2013
期刊：
--
影响因子：
--
作者：
Zhuang Ya-ming
通讯作者：
Zhuang Ya-ming
DOI：
--
发表时间：
1999-07
期刊：
The Finance
影响因子：
--
作者：
A. Johansen;D. Sornette
通讯作者：
A. Johansen;D. Sornette
DOI：
10.2139/ssrn.316566
发表时间：
2002-05
期刊：
Capital Markets: Market Microstructure eJournal
影响因子：
--
作者：
J. Griffin;Selim Topaloglu;J. Harris
通讯作者：
J. Griffin;Selim Topaloglu;J. Harris
DOI：
10.1002/9783527627981.ch2
发表时间：
2009-08
期刊：
--
影响因子：
--
作者：
S. Thurner
通讯作者：
S. Thurner
影响因子：
8.2
作者：
BIKHCHANDANI, S;HIRSHLEIFER, D;WELCH, I
通讯作者：
WELCH, I