Starting with the self-organized evolution of the trader group’s structure, a parsimonious percolation model for stock market is established, which can be considered as a kind of betterment of the Cont-Bouchaud model...Starting with the self-organized evolution of the trader group’s structure, a parsimonious percolation model for stock market is established, which can be considered as a kind of betterment of the Cont-Bouchaud model. The return distribution of the present model obeys Lévy form in the center and displays fat-tail property, in accord with the styl-ized facts observed in real-life financial time series. Fur-thermore, this model reveals the power-law relationship be-tween the peak value of the probability distribution and the time scales, in agreement with the empirical studies on the Hang Seng Index.展开更多
基金Th is work was supported by the National Natural Science Foundation of China (Grant Nos． 70171053． 70271070，70471033& 10472ll61)the Specialized Research Fund for the Doctoral Program of Higher Education (SRFDP No．20020358009) the Foundation for Graduate Students of University of Science and Tech—nology of China(Grant No．KD 200408)．
文摘Starting with the self-organized evolution of the trader group’s structure, a parsimonious percolation model for stock market is established, which can be considered as a kind of betterment of the Cont-Bouchaud model. The return distribution of the present model obeys Lévy form in the center and displays fat-tail property, in accord with the styl-ized facts observed in real-life financial time series. Fur-thermore, this model reveals the power-law relationship be-tween the peak value of the probability distribution and the time scales, in agreement with the empirical studies on the Hang Seng Index.
