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

Yu-Xia ZHANG, Hao LIAO, Matúš MEDO, Ming Sheng SHANG, Chi Ho YEUNG

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1 Citation (Scopus)

Abstract

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. Copyright © 2016 Published by Elsevier B.V.
Original languageEnglish
Pages (from-to)486-496
JournalPhysica A: Statistical Mechanics and its Applications
Volume450
Early online dateJan 2016
DOIs
Publication statusPublished - 2016

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Market Model
minorities
Stock Market
guy wires
Tolerance
Fat Tails
Competition Model
fats
Valid
Fluctuations
Model
Strategy

Citation

Zhang, Y.-X., Liao, H., Medo, M., Shang, M.-S., & Yeung, C. H. (2016). Study of market model describing the contrary behaviors of informed and uninformed agents: Being minority and being majority. Physica A: Statistical Mechanics and its Applications, 450, 486-496.

Keywords

  • Contrary behavior
  • Risk and profit
  • Competition system