金融动力学交易量交互作用模拟.pdfVIP

1 1 1 Modeling interaction of trading volume in financial dynamics 1,2 11 1 Fei Ren , Bo Zheng , Pao Cheng 1 Zhejiang Institute of Modern Physics, Zhejiang University, Hangzhou 310027, P.R. China and 2 School of Business, East China University of Science and Technology, Shanghai 200237, P.R. China Abstract A dynamic herding model with interactions of trading volumes is introduced. At time t, an agent trades with a probability, which depends on the ratio of the total trading volume at time t − 1 to its own trading volume at its last trade. The price return is determined by the volume imbalance and number of trades. The model successfully reproduces the power-law distributions of the trading volume, number of trades and price return, and their relations. Furthermore, the generated time series are long-range correlated. PACS numbers: 89.75.-k, 89.65.-s, 02.50.Le ∗ corresponding author: zheng@ 1 I. INTRODUCTION In quantitative analysis of financial markets, much attention has been drawn to the power- law distribution of the stock price changes [1–10]. Denoting p (t) as the price of a given stock or financial index, the price return r (t) is defined as the change of the logarithmic price in a time interval ∆t, i.e., r (t) ≡ ln p (t + ∆t) − ln p (t). The cumulative probability distribution of the price r