Afsharizand Bahar, Chaghoei Pooya H, Kordbacheh Amirhossein A, Trufanov Andrey, Jafari Golamreza
Department of Physics, Iran University of Science and Technology, Tehran 512, Iran.
Center for Complex Networks & Social DataScience, Shahid Beheshti University, Tehran 512, Iran.
Entropy (Basel). 2020 Sep 17;22(9):1038. doi: 10.3390/e22091038.
A crisis in financial markets can be considered as a collective behaviour phenomenon. The collective behaviour is a complex behaviour which exists among a group of animals. The Vicsek model has been adapted to represent this complexity. A unique phase space has been introduced to represent all possible results of the model. The return of the transaction volumes versus the return of the closed price of each share has been used within the defined phase space. The findings show that the direction of the resultant velocity vectors of all share in this phase space act in the same direction when the financial crisis happens. By monitoring the market's collective behaviour, it will be possible to gain more knowledge about the condition of the market days in crisis. This research aims to investigate the collective behaviour of stocks using the Vicsek model to study the condition of the market during the days in crisis.
金融市场危机可被视为一种集体行为现象。集体行为是一种存在于一群动物之间的复杂行为。维谢克模型已被用于描述这种复杂性。引入了一个独特的相空间来表示该模型的所有可能结果。在定义的相空间内，使用了交易量回报率与每股收盘价回报率的关系。研究结果表明，当金融危机发生时，该相空间中所有股票的合成速度向量方向相同。通过监测市场的集体行为，有可能获得更多关于危机期间市场状况的知识。本研究旨在使用维谢克模型研究股票的集体行为，以探究危机期间的市场状况。
