英文标题：
《Herding interactions as an opportunity to prevent extreme events in
  financial markets》
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作者：
Aleksejus Kononovicius, Vygintas Gontis
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最新提交年份：
2015
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英文摘要：
  A characteristic feature of complex systems in general is a tight coupling between their constituent parts. In complex socio-economic systems this kind of behavior leads to self-organization, which may be both desirable (e.g. social cooperation) and undesirable (e.g. mass panic, financial \"bubbles\" or \"crashes\"). Abundance of the empirical data as well as general insights into the trading behavior enables the creation of simple agent-based models reproducing sophisticated statistical features of the financial markets. In this contribution we consider a possibility to prevent self-organized extreme events in artificial financial market setup built upon a simple agent-based herding model. We show that introduction of agents with predefined fundamentalist trading behavior helps to significantly reduce the probability of the extreme price fluctuations events. We also test random trading control strategy, which was previously found to be promising, and find that its impact on the market is rather ambiguous. Though some of the results indicate that it might actually stabilize financial fluctuations.
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中文摘要：
一般来说，复杂系统的一个特征是其组成部分之间的紧密耦合。在复杂的社会经济系统中，这种行为会导致自组织，这既可能是可取的（如社会合作），也可能是不可取的（如大众恐慌、金融“泡沫”或“崩溃”）。丰富的经验数据以及对交易行为的一般洞察，使我们能够创建简单的基于代理的模型，重现金融市场的复杂统计特征。在这篇文章中，我们考虑了在建立在简单的基于主体的羊群模型基础上的人工金融市场设置中防止自组织极端事件的可能性。我们发现，引入具有预先定义的原教旨主义交易行为的代理人有助于显著降低极端价格波动事件的概率。我们还测试了随机交易控制策略，这之前被认为是有希望的，并发现其对市场的影响相当模糊。尽管一些结果表明，它实际上可能会稳定金融波动。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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