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

Authors

Wu Jiang, 1. Department of Management Science, School of Statistics, Southwestern University of Finance & Economics, Chengdu 611130, China;;
Zhang Hui, 2. Personal Business Department, Huaxia Bank, Beijing 100005, China;;
Chuan Tang, 3. Puplic Utilities Department, Dagong Global Credit Rating Company Limited, Beijing 100125,China;

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.

Recommended Citation

Jiang, Wu; Hui, Zhang; and Tang, Chuan (2020) "Research on Herd Behavior Simulation Based on Scale Free Network in Artificial Stock Market," Journal of System Simulation: Vol. 28: Iss. 11, Article 2.
DOI: 10.16182/j.issn1004731x.joss.201611002
Available at: https://dc-china-simulation.researchcommons.org/journal/vol28/iss11/2

First Page

2655

Revised Date

2014-11-17

DOI Link

https://doi.org/10.16182/j.issn1004731x.joss.201611002

Last Page

2662

CLC

F830;TP391.9

Recommended Citation

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.

DOI

10.16182/j.issn1004731x.joss.201611002