摘要
在EZ羊群模型的基础之上,提出了一个随集团规模改变的集团部分分解羊群模型.该模型认为,在现实的金融市场中,由于集团内各个交易者所获得的信息,他们的期望值和心理因素等有差异,同属一个集团的经纪人中,并非所有人都采取相同的策略,同一集团内参与交易的人数与所在集团的规模大小有关.通过大量的数值计算,我们发现,该模型产生了收益率的尖峰胖尾分布,这说明其能较好地反映金融市场的动力学行为和特性.
In this paper,we propose a cluster-partial-separation herding model with change of cluster size based on EZ herding model.In this model,according to the real financial market,different agents in a cluster may have different knowledge,different expectations and different mental states about the sharing information,not everyone will take the same strategy.Number of persons involved in the transaction is related with the size of cluster.The numerical calculation shows this model produces peak fat-fail distribution of yields.This shows that it can better reflect the dynamic behavior and characteristics of the financial markets.
出处
《浙江工业大学学报》
CAS
北大核心
2015年第1期115-118,共4页
Journal of Zhejiang University of Technology
基金
浙江省重大科技专项计划项目(2011C11048)
