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Herd behavior and return dynamics in a share market with many types of agents

 

作者: Masanao Aoki,  

 

期刊: AIP Conference Proceedings  (AIP Available online 1900)
卷期: Volume 519, issue 1  

页码: 699-710

 

ISSN:0094-243X

 

年代: 1900

 

DOI:10.1063/1.1291645

 

出版商: AIP

 

数据来源: AIP

 

摘要:

This paper considers a market in which shares of a holding company is traded by agents of many types. The market behavior is examined by regarding clusters of agents by types as random combinatorial partitions of agents by types. The equilibrium distribution is known to be the Ewens sampling formula. The paper examines the situations in which two types of agents dominate in the markets by using the marginal distribution for the two largest fractions of agent types. The returns are conjectured to obey a power-law. ©2000 American Institute of Physics.

 

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