期刊名称：Lecture Notes in Engineering and Computer Science
印刷版ISSN：2078-0958
电子版ISSN：2078-0966
出版年度：2018
卷号：2235&2236
页码：149-154
出版社：Newswood and International Association of Engineers
摘要：In this work, the effect of number of interacting
(influential) agents, as an add-on parameter to the population
size, market temperature and time lag, on price-change in
stock market was investigated using agent-based spin-1 Ising
model and Monte Carlo simulation. The average decision (to
perform trading activity), was used to extract excess
demand/supply for determination of the asset’s market price.
From the results, though population size is not significant,
other parameters have significant effects on the average
trading decision resulting in different characteristic of market
price value and fluctuation. Specifically, the high- and lowtemperature
phases of the average trading decision is evident,
where the transition point shifts to higher market temperature
with increasing number of interacting agents. This is due to
having more consensuses requires more market stimulation to
lessen the investing agreement bound by trustworthiness. For
the price-return distribution, higher market temperature,
more number of interest agents, and longer time lag, were
found to broaden the distribution. This is as more market
liquidity and less influence from other investors help
alleviating the price stiffness and allow more price fluctuation.
Consequently, the distribution can be ranged to farther
regimes. However, for the time lag, as the correlation usually
decays at longer time, the consecutive prices used in pricereturn
calculation then become less dependent as expected.
With this greater level of randomness, it then shapes the
distribution to become more uniform (broaden out). As seen,
apart from the usual investigating parameters, the number of
interacting agents also prove its importance as significant addon
parameters when modeling the behavior of price changes in
stock market, emphasizing that herding effect should be taken
with profound consideration.
关键词：Econophysics; Monte Carlo Simulation;
Price;return Distribution; Spin;1 Ising model; Stock;price;
Stock market
