Research on Herd Behavior Simulation Based on Scale Free Network in Artificial Stock Market

doi:10.16182/j.issn1004731x.joss.201611002

Abstract

Abstract: To study the mechanism of herd behavior, an artificial stock market multi-agents model was established based on a scale free network investor relationship structure. Four kinds of investors were defined, which are fundamentalists, noise traders, speculators, and trend followers. Investors made a transaction according to their own specific investment strategy, and were meanwhile influenced from own neighbors, so the herd behavior came into being among these investors. The simulation results show that there is a positive relationship between the total herd behavior level of investors and the volatility of returns, and a significant difference between herding levels for four types of investors.

Key words: simulation, herd behavior, artificial stock market, scale free network

CLC Number:

F830
TP391.9

Wu Jiang, Zhang Hui, Tang Chuan. Research on Herd Behavior Simulation Based on Scale Free Network in Artificial Stock Market[J]. Journal of System Simulation, 2016, 28(11): 2655-2662.

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