Study of market model describing the contrary behaviors of informed and uninformed agents: Being minority and being majority

Zhang, Yu-Xia; Liao, Hao; Medo, Matúš; Shang, Ming-Sheng; Yeung, Chi Ho

doi:10.1016/j.physa.2016.01.041

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Journal article

Study of market model describing the contrary behaviors of informed and uninformed agents: Being minority and being majority

Zhang, Yu-Xia Physics and Photoelectricity School, South China University of Technology, Guangzhou, China - Department of physics, University of Fribourg, Switzerland
Liao, Hao Department of physics, University of Fribourg, Switzerland - College of Computer Science and Software Engineering, Shenzhen University, China
Medo, Matúš Department of physics, University of Fribourg, Switzerland
Shang, Ming-Sheng Department of physics, University of Fribourg, Switzerland - Chongqing Institute of Green and Intelligent Technology, Chinese Academy of Sciences, Chongqing, China
Yeung, Chi Ho Department of Science and Environmental Studies, Hong Kong Institute of Education, Hong Kong

15.05.2016

Published in:

Physica A: Statistical Mechanics and its Applications. - 2016, vol. 450, p. 486–496

English In this paper we analyze the contrary behaviors of the informed investors and uniformed investors, and then construct a competition model with two groups of agents, namely agents who intend to stay in minority and those who intend to stay in majority. We find two kinds of competitions, inter- and intra-groups. The model shows periodic fluctuation feature. The average distribution of strategies illustrates a prominent central peak which is relevant to the peak-fat-tail character of price change distribution in stock markets. Furthermore, in the modified model the tolerance time parameter makes the agents diversified. Finally, we compare the strategies distribution with the price change distribution in real stock market, and we conclude that contrary behavior rules and tolerance time parameter are indeed valid in the description of market model.

Faculty

Faculté des sciences et de médecine

Department

Département de Physique

Language