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Study of market model describing the contrary behaviors of informed and uninformed agents: Being minority and being majority

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  • Zhang, Yu-Xia
  • Liao, Hao
  • Medo, Matus
  • Shang, Ming-Sheng
  • Yeung, Chi Ho

Abstract

In this paper we analyze the contrary behaviors of the informed investors and uniformed investors, and then construct a competition model with two groups of agents, namely agents who intend to stay in minority and those who intend to stay in majority. We find two kinds of competitions, inter- and intra-groups. The model shows periodic fluctuation feature. The average distribution of strategies illustrates a prominent central peak which is relevant to the peak-fat-tail character of price change distribution in stock markets. Furthermore, in the modified model the tolerance time parameter makes the agents diversified. Finally, we compare the strategies distribution with the price change distribution in real stock market, and we conclude that contrary behavior rules and tolerance time parameter are indeed valid in the description of market model.

Suggested Citation

  • Zhang, Yu-Xia & Liao, Hao & Medo, Matus & Shang, Ming-Sheng & Yeung, Chi Ho, 2016. "Study of market model describing the contrary behaviors of informed and uninformed agents: Being minority and being majority," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 486-496.
    • Handle: RePEc:eee:phsmap:v:450:y:2016:i:c:p:486-496
    DOI: 10.1016/j.physa.2016.01.041
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    References listed on IDEAS

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    1. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Springer;Society for Computational Economics, vol. 26(1), pages 19-49, August.
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    Cited by:

    1. Wang, Yiduan & Zheng, Shenzhou & Zhang, Wei & Wang, Jun & Wang, Guochao, 2018. "Modeling and complexity of stochastic interacting Lévy type financial price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 498-511.

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