Research on the Stability of Open Financial System

Entropy

Haijun Yang¹  Lin Li¹  Deshen Wang¹  Guanrong Chen²  C.K. Michael Tse²  Mustak E. Yalcin²  Hai Yu² 

[1] School of Economics and Management, Beijing University of Aeronautics & Astronautics, 37 Xueyuan Road, Haidian District, Beijing 100191,China;

关键词: herd behavior;    open system complexity;    multiple agent interaction;    volatility cluster;   

DOI  :  10.3390/e17041734

来源: mdpi

【 摘 要 】

We propose a new herd mechanism and embed it into an open financial market system, which allows traders to get in and out of the system based on some transition rates. Moreover, the novel mechanism can avoid the volatility disappearance when the population scale increases. There are three kinds of heterogeneous agents in the system: optimistic, pessimistic and fundamental. Interactions especially occur among three different groups of agents instead of two, which makes the artificial financial market more close to the real one. By the simulation results of this complex system, we can explain stylized facts like volatility clustering and find the key parameters of market bubbles and market collapses.

【 授权许可】

CC BY   
© 2015 by the authors; licensee MDPI, Basel, Switzerland