Earticle

초록

영어

In financial market considered as one of complex systems, there exists highly nonlinear interaction between heterogeneous traders. Due to this nonlinear interaction, emergent behavior so called stylized facts occurs in financial market. To understand impact of interaction between heterogeneous traders in financial market, we propose an agent based model consists of heterogeneous agents such as fundamentalist, optimistic and pessimistic and interaction between them. Fundamentalist make strategy using the fundamental value of market and play a role of stabilizing market. Fundamentalist forecasts future price will converge to fundamental value. While optimistic and pessimistic called by chartist have an investment strategy using the trend of past price and has a role of destabilizing market. Optimistic (pessimistic) forecasts future price will be larger (smaller) than current price. These three type agents change their own types into other types using transition rules dominated by herding and relative payoff strategy. We consider the topology of interaction between traders using complex network which is constructed by regular, random, small world and scale free network. We find that there were observed stylized facts such as power-law tails and long memory property of volatility in scale free network. Also, it was observed that frequent switching behavior between agent types in scale-free network with small clustering coefficient and short average path length. These results support that the heterogeneous and power-law scaling of interaction between traders would be the source of stylized facts in financial market.

목차

Abstract
 1 Introduction
 2 Model and Methodology
  2.1 Complex Network
  2.2 WS(Watts and Strogatz) Model
  2.3 BA(Barab´asi and Albert) Model
  2.4 Artificial stock market with local interactions
 3 Simulation and Result
 4 Conclusion and Discussion
 References

키워드

저자

• Kyubin Yim [ Divison of Business Administration, Chosun University ]
• Gabjin Oh [ Divison of Business Administration, Chosun University ]
• Seunghwan Kim [ Divison of Business Administration, Chosun University ]

참고문헌

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간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330