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Herd behavior in financial markets research

Author: YuYiLong
Tutor: ZhouMingHua
School: Zhejiang University of Technology
Course: Applied Mathematics
Keywords: EZ sheep model Partial separation of the sheep model EZ Stylized law Market judgment
CLC: F830.9
Type: Master's thesis
Year: 2010
Downloads: 140
Quote: 0
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Abstract


Since Eguiluz and Zimmermann raised sheep model EZ , EZ sheep model for its simplicity and self-organization , by the researchers' attention , giving rise to many new model was used to simulate not only the speculative market , has also been used other dynamic process , a classic dynamic percolation models generated by the model price of these time series time series of the actual law of the same program , may be considered in some respects the microscopic model captures the actual market attributes which has practical significance of the actual time series of procedural rules for judging model quality standards , this article either improved models , or their proposed models are programmable through these laws to the test . main research work as follows : 1. describes the basic model, and on this basis the flock on a variety of derivative model highlights the performance of these models the dynamics of financial indices .2 the existing model of heterogeneous agents flock and long- term memory flock together to create a new model of a model to make the model more in line with real market , and through computer simulation, different parameters are discussed for the dynamic system effects , the results are consistent with the actual market situation .3 . in front of the market on the basis of further added the ability to create a broker's judgment flock model and consider different values ??of different parameters to discuss these parameters for the system impact of .4 to start from the most basic model of the flock , raised his flock model, that part of the separation of the sheep model by introducing partial separation parameter b is to establish partial separation of the sheep model to discuss the influence of parameters on the system , and EZ models and compare the results .

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market
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