arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1003.3114physics.soc-phcond-mat.stat-mechq-fin.GN
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级联扩散的自组织模型

Self-organized model of cascade spreading

Stanislao Gualdi, Matus Medo, Yi-Cheng Zhang

摘要:

我们研究了真实股票的同时价格下跌,并表明对于高下跌阈值,它们遵循幂律分布。为了重现这些集体低迷,我们提出了一个最小的自组织模型的级联传播的基础上的系统元素的概率响应的压力条件。这个模型是可解的分支过程理论和平均场近似。对于广泛的参数范围内,系统处于临界状态,并显示出类似于经验观察到的幂律级联尺寸分布。我们进一步推广的模型,再现波动聚类和其他观察到的性质,真正的股票。

英文摘要:

We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a minimal self-organized model of cascade spreading based on a probabilistic response of the system elements to stress conditions. This model is solvable using the theory of branching processes and the mean-field approximation. For a wide range of parameters, the system is in a critical state and displays a power-law cascade-size distribution similar to the empirically observed one. We further generalize the model to reproduce volatility clustering and other observed properties of real stocks.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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