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ID:37657659
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页数:9页
时间:2019-05-27
《Dynamical Explanation for the Emergence of Power Law in a Stock Market Model》由会员上传分享,免费在线阅读,更多相关内容在行业资料-天天文库。
1、DynamicalExplanationfortheEmergenceofPowerLawinaStockMarketModelbyMosheLevyandSorinSolomonDepartmentofTheoreticalPhysicsRacahInstituteofPhysicsGivatRamTheHebrewUniversityofJerusalemJerusalem91000,IsraelAbstractPowerlawsarefoundinawiderangeofdierentsystems:fromsandpilestowordoccurrencef
2、requenciesandtothesizedistributionofcities.Thenaturalemergenceofthesepowerlawsinsomanydierentsystems,whichhasbeencalledselforganizedcriticality,seemsrathermysteriousandawaitsarigorousexplanation.Inthisletterwestudythestationaryregimeofapreviouslyintroduceddynamicalmicroscopicmodelofthe
3、stockmarket.Wendscalingintheeconomicparametersofthesystem.Weareabletoexplainthisphenomenonbysimplegeneralconsiderations.Wesuggestthatsimilarconsiderationsmayexplainselforganizedcriticalityinmanyothersystems.Key-words:self-organizedcriticality,powerlaws,complexsystems,computersimulation
4、s,stockmarket.IntroductionTheappearanceofpowerlawsinamultitudeofdiversesystemsseemsapuzzle.Baketal[1-4]whocoinedtheterm"selforganizedcriticality"anddiscoveredthisphenomenainmanysystemssuggestthatmanycomplexsystemshaveanaturaltendencytoconvergetoastatisticallystablestatewhichcannotbechar
5、acterizedbyaspecicscale.Scalinghasbeenrecently1foundinthebehaviorofeconomicsystems[5].Themechanismsdrivingsystemsintothestateofcriticalityremainratherunclear.Therehavebeenrecentattemptstoexplainselforganizedcriticalityviatherenormalizationgroupapproach[6-8].Itisnotyetcertainhowfarthisa
6、pproachcanbestretchedinordertoapplyforalargeclassofgenericcomplexsystems.Inthepresentworkwestudyasimplemicroscopicmodelofthestockmarket[9,10].Inthepresentletterwereporttheemergence(inthetime-stationaryregime)ofpowerlawsinthedistributionofwealthamongtheinvestorsrepresentedinthemodel.Thet
7、imeevolutionofthesystemconsisttheninasuperpositionofrandomwalkswithstepsproportionaltothevariousinvestorwealthesandleadstomarket uctuationsconsistentwiththeexperimentallyfoundLevydistribution[5].Weoerageneralexplanationfortheemergenceofapowerlawinthiscontext.Ourexplanationisre
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