文献类型：期刊文献

英文题名：Modeling interactions of trading volumes in financial dynamics

作者：Ren, F.[1,2,3];Zheng, B.[2];Chen, P.[2]

机构：[1]E China Univ Sci & Technol, Sch Business, 130 Meilong Rd,POB 114, Shanghai 200237, Peoples R China;[2]Zhejiang Univ, Zhejiang Inst Modern Phys, Hangzhou 310027, Peoples R China;[3]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China

年份：2010

卷号：389

期号：14

起止页码：2744

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

收录：;EI(收录号：20101712884509);WOS:【SSCI(收录号:WOS:000278190100008)，SCI-EXPANDED(收录号:WOS:000278190100008)】；

基金：This work was supported in part by the Zhejiang Provincial Natural Science Foundation of China under grant No. Z6090130, NNSF (China) under grant Nos. 10325520, 70371069 and 10905023, and the "Chen Guang" project sponsored by Shanghai Municipal Education Commission and Shanghai Education Development Foundation under grant No. 2008CG37.

语种：英文

外文关键词：Econophysics; Trading volume; Scaling; Complex systems

摘要：A dynamic herding model with interactions of trading volumes is introduced. At time t, an agent trades with a probability, which depends on the ratio of the total trading volume at time t - 1 to its own trading volume at its last trade. The price return is determined by the volume imbalance and number of trades. The model can reproduce the power-law distributions of the trading volume, number of trades and price return, and the probable relation between them. The exponents are tunable by adjusting the values of the parameters, but show slight deviation from those revealed in empirical studies. Moreover, the time series generated are long-range correlated. We demonstrate that the results are rather robust, and do not depend on the particular form of the trading probability. (C) 2010 Elsevier B.V. All rights reserved.