文献类型：期刊文献

英文题名：Self-reinforcing feedback loop in financial markets with coupling of market impact and momentum traders

作者：Zhong, Li-Xin[1,2];Xu, Wen-Juan[3];Chen, Rong-Da[1,2];Zhong, Chen-Yang[4];Qiu, Tian[5];Ren, Fei[6,7];He, Yun-Xing[1,2]

机构：[1]Zhejiang Univ Finance & Econ, Sch Finance, Hangzhou 310018, Peoples R China;[2]Zhejiang Univ Finance & Econ, Coordinated Innovat Ctr Wealth Management & Quant, Hangzhou 310018, Peoples R China;[3]Zhejiang Univ Finance & Econ, Sch Law, Hangzhou 310018, Peoples R China;[4]Stanford Univ, Dept Stat, Stanford, CA 94305 USA;[5]Nanchang Hangkong Univ, Sch Informat Engn, Nanchang 330063, Jiangxi, Peoples R China;[6]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[7]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China

年份：2018

卷号：493

起止页码：301

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

收录：;EI(收录号：20174704421331);WOS:【SSCI(收录号:WOS:000423892800026)，SCI-EXPANDED(收录号:WOS:000423892800026)】；

基金：This work is the research fruits of National Natural Science Foundation of China (Grant Nos. 71371165, 61503109, 71631005, 71273224, 71471161, 71471031, 71171036, 71202039, 71773105), Collegial Laboratory Project of Zhejiang Province (Grant No. YB201628), Humanities and Social Sciences Fund sponsored by Ministry of Education of China (Grant No. 17YJAZH067), Zhejiang Provincial Natural Science Foundation of China (Grant No. LY17G030024), Research Project of Generalized Virtual Economy (Grant No. GX2015-1004(M)), Jiangxi Provincial Young Scientist Training Project (Grant No. 2013 3BCB23017).

语种：英文

外文关键词：Econophysics; Trading efficiency; Momentum traders; Self-reinforcing feedback

摘要：By incorporating market impact and momentum traders into an agent-based model, we investigate the conditions for the occurrence of self-reinforcing feedback loops and the coevolutionary mechanism of prices and strategies. For low market impact, the price fluctuations are originally large. The existence of momentum traders has little impact on the change of price fluctuations but destroys the equilibrium between the trend-following and trend-rejecting strategies. The trend-following herd behaviors become dominant. A self-reinforcing feedback loop exists. For high market impact, the existence of momentum traders leads to an increase in price fluctuations. The trend-following strategies of rational individuals are suppressed while the trend-following strategies of momentum traders are promoted. The crowd-anticrowd behaviors become dominant. A negative feedback loop exists. A theoretical analysis indicates that, for low market impact, the majority effect is beneficial for the trend-followers to earn more, which in turn promotes the trend-following strategies. For high market impact, the minority effect causes the trend-followers to suffer great losses, which in turn suppresses the trend-following strategies. (C) 2017 Elsevier B.V. All rights reserved.