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Financial market model based on self-organized percolation

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Starting with the self-organized evolution of the trader group’s structure, a parsimonious percolation model for stock market is established, which can be considered as a kind of betterment of the Cont-Bouchaud model. The return distribution of the present model obeys Lévy form in the center and displays fat-tail property, in accord with the stylized facts observed in real-life financial time series. Furthermore, this model reveals the power-law relationship between the peak value of the probability distribution and the time scales, in agreement with the empirical studies on the Hang Seng Index.

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Correspondence to Binghong Wang.

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Yang, C., Wang, J., Zhou, T. et al. Financial market model based on self-organized percolation. Chin.Sci.Bull. 50, 2140–2144 (2005). https://doi.org/10.1007/BF03182660

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  • percolation
  • self-organization
  • Lévy distribution
  • multiagent
  • financial market model