文献类型：期刊文献

英文题名：Coupled effects of market impact and asymmetric sensitivity in financial markets

作者：Zhong, Li-Xin[1];Xu, Wen-Juan[1];Ren, Fei[2];Shi, Yong-Dong[1,3,4]

机构：[1]Zhejiang Univ Finance & Econ, Sch Finance, Hangzhou 310018, Zhejiang, Peoples R China;[2]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[3]Dongbei Univ Finance & Econ, Sch Finance, Dalian 116025, Peoples R China;[4]Dongbei Univ Finance & Econ, Res Ctr Appl Finance, Dalian 116025, Peoples R China

年份：2013

卷号：392

期号：9

起止页码：2139

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20131416157959);WOS:【SSCI(收录号:WOS:000316774800023)，SCI-EXPANDED(收录号:WOS:000316774800023)】；

基金：This work is the research fruits of the Humanities and Social Sciences Fund sponsored by Ministry of Education of China (Grant Nos. 10YJAZH137, 09YJCZH042), Natural Science Foundation of Zhejiang Province (Grant No. Y6110687), Social Science Foundation of Zhejiang Province (Grant No. 10CGGL14YB) and National Natural Science Foundation of China (Grant Nos. 10905023, 11175079, 70871019, 71171036, 71072140).

语种：英文

外文关键词：Econophysics; Market impact; Asymmetric sensitivity; Price fluctuations

摘要：By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the investors' global behavior are found to be closely related to the phase region they fall into. Within the region where the market impact is small, investors' asymmetric response to gains and losses leads to the occurrence of herd behavior, when all the investors are prone to behave similarly in an extreme way and large price fluctuations occur. A linear relation between the standard deviation of stock price changes and the mean value of strategies is found. With full market impact, the investors tend to self-segregate into opposing groups and the introduction of asymmetric sensitivity leads to the disappearance of dominant strategies. Compared with the situations in the stock market with little market impact, the stock price fluctuations are suppressed and an efficient market occurs. Theoretical analyses indicate that the mechanism of phase transition from clustering to self-segregation in the present model is similar to that in the majority-minority game and the occurrence and disappearance of efficient markets are related to the competition between the trend-following and the trend-aversion forces. The clustering of the strategies in the present model results from the majority-wins effect and the wealth-driven mechanism makes the market become predictable. (C) 2013 Elsevier B.V. All rights reserved.