文献类型：期刊文献

英文题名：A minority game with expected returns for modeling stock correlations

作者：Yang, M. -Y.[1];Li, S. -P.[2];Zhong, L. -X.[3];Ren, F.[1,4,5]

机构：[1]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]Acad Sinica, Inst Phys, Taipei 115, Taiwan;[3]Zhejiang Univ Finance & Econ, Sch Finance, Hangzhou 310018, Zhejiang, Peoples R China;[4]East China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China;[5]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China

年份：2018

卷号：123

期号：1

外文期刊名：EPL

收录：;WOS:【SSCI(收录号:WOS:000440739300001)，SCI-EXPANDED(收录号:WOS:000440739300001)】；

基金：This work was partially supported by the National Natural Science Foundation (Nos. 10905023, 71131007 and 71371165), the Humanities and Social Sciences Fund sponsored by Ministry of Education of the People's Republic of China (No. 17YJAZH067), the Collegial Laboratory Project of Zhejiang Province (No. YB201628), and the Fundamental Research Funds for the Central Universities (2015).

语种：英文

摘要：Financial systems are complex systems which have been widely studied in recent years. We here propose a model to study stock correlations in financial markets, 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 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 (C) EPLA, 2018