Biondo Alessio Emanuele, Pluchino Alessandro, Rapisarda Andrea
Dipartimento di Economia e Impresa - Universitá di Catania, Corso Italia 55, 95129 Catania, Italy.
Dipartimento di Fisica e Astronomia, Universitá di Catania and INFN sezione di Catania, Via S. Sofia 64, 95123 Catania, Italy.
Phys Rev E Stat Nonlin Soft Matter Phys. 2015 Oct;92(4):042814. doi: 10.1103/PhysRevE.92.042814. Epub 2015 Oct 29.
We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders, composed by chartists and fundamentalists, and focus on the role of informative pressure on market participants, showing how the spreading of information, based on a realistic imitative behavior, drives contagion and causes market fragility. In this model imitation is not intended as a change in the agent's group of origin, but is referred only to the price formation process. We introduce in the community also a variable number of random traders in order to study their possible beneficial role in stabilizing the market, as found in other studies. Finally, we also suggest some counterintuitive policy strategies able to dampen fluctuations by means of a partial reduction of information.
我们提出了一个以自组织临界性为特征的金融市场模型，该模型能够内生地产生现实的价格动态，并重现著名的典型事实。我们考虑一个由图表分析师和基本面分析师组成的异质交易者群体，并关注信息压力对市场参与者的作用，展示基于现实模仿行为的信息传播如何驱动传染并导致市场脆弱性。在这个模型中，模仿并非指交易者所属群体的改变，而仅涉及价格形成过程。为了研究随机交易者在稳定市场方面可能的有益作用（正如其他研究中所发现的那样），我们在群体中引入了数量可变的随机交易者。最后，我们还提出了一些违反直觉的政策策略，这些策略能够通过部分减少信息来抑制波动。
