文献类型：期刊文献

英文题名：Modelling stock correlations with expected returns from investors

作者：Yang, Ming-Yuan[1]; Li, Sai-Ping[2]; Zhong, Li-Xin[3]; Ren, Fei[1,4,5]

机构：[1] School of Business, East China University of Science and Technology, Shanghai, 200237, China; [2] Institute of Physics, Academia Sinica, Taipei, 115, Taiwan; [3] School of Finance, Zhejiang University of Finance and Economics, Hangzhou, 310018, China; [4] School of Science, East China University of Science and Technology, Shanghai, 200237, China; [5] Research Center for Econophysics, East China University of Science and Technology, Shanghai, 200237, China

年份：2018

外文期刊名：arXiv

收录：EI(收录号：20200398860)

语种：英文

外文关键词：Computational methods - Decision making - Economics - Information dissemination - Investments - Simulation platform

摘要：Understanding stock correlations is crucial to asset pricing, investor decision-making, and financial risk regulations. However, a microscopic explanation based on agent-based modeling is still lacking. We here propose a model derived from minority game for modeling stock correlations, in which an agent's expected return for one stock is influenced by the historical return of the other stock. Each agent makes a decision based on his expected return with reference to information dissemination and the historical return of the stock. We find that the returns of the stocks are positively (negatively) correlated when agents' expected returns for one stock are positively (negatively) correlated with the historical return of the other. We provide both numerical simulations and analytical studies and give explanations to stock correlations for cases with agents having either homogeneous or heterogeneous expected returns. The result still holds when other factors such as holding decisions and external events are included which broadens the practicability of the model. Copyright ? 2018, The Authors. All rights reserved.