دانلود مقاله ISI انگلیسی شماره 45033
عنوان فارسی مقاله

آیا ارتباطی بین مورفولوژی شبکه و نوسانات شاخص بازار سهام وجود دارد؟

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
45033 2015 12 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Is there any connection between the network morphology and the fluctuations of the stock market index?
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Physica A: Statistical Mechanics and its Applications, Volume 419, 1 February 2015, Pages 630–641

کلمات کلیدی
مالی رفتاری - مدل مبتنی بر عامل - شبکه های پیچیده
پیش نمایش مقاله
پیش نمایش مقاله آیا ارتباطی بین مورفولوژی شبکه و نوسانات شاخص بازار سهام وجود دارد؟

چکیده انگلیسی

Models which consider behavioral aspects of the investors have attracted increasing interest in the Finance and Econophysics literature in the last years. Different behavioral profiles (imitation, anti-imitation, indifference) were proposed for the investors, which take their decision based on their trust network (neighborhood). Results from agent-based models have shown that most of the features observed in actual stock market indices can be replicated in simulations. Here, we present a deeper investigation of an agent based model considering different network morphologies (regular, random, small-world) for the investors’ trust network, in an attempt to answer the question raised in the title. We study the model by considering four scenarios for the investors and different initial conditions to analyze their influence in the stock market fluctuations. We have characterized the stationary limit for each scenario tested, focusing on the changes introduced when complex networks were used, and calculated the Hurst exponent in some cases. Simulations showed interesting results suggesting that the fluctuations of the stock market index are strongly affected by the network morphology, a remarkable result which we believe was never reported or predicted before.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.