英文标题：
《Modelling Financial Markets by Self-Organized Criticality》
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作者：
A. E. Biondo, A. Pluchino, A. Rapisarda
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最新提交年份：
2015
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英文摘要：
  We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders, composed by chartists and fundamentalists, and focus on the role of informative pressure on market participants, showing how the spreading of information, based on a realistic imitative behavior, drives contagion and causes market fragility. In this model imitation is not intended as a change in the agent\'s group of origin, but is referred only to the price formation process. We introduce in the community also a variable number of random traders in order to study their possible beneficial role in stabilizing the market, as found in other studies. Finally we also suggest some counterintuitive policy strategies able to dampen fluctuations by means of a partial reduction of information.
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中文摘要：
我们提出了一个以自组织临界性为特征的金融市场模型，该模型能够内生地产生现实的价格动态，并再现众所周知的程式化事实。我们考虑了一个由图表主义者和原教旨主义者组成的异质交易者群体，关注信息压力对市场参与者的作用，展示了基于现实模仿行为的信息传播是如何驱动传染并导致市场脆弱的。在这个模型中，模仿并不是为了改变代理人的来源群体，而是指价格形成过程。我们还向社区介绍了数量可变的随机交易者，以研究他们在稳定市场方面可能发挥的有益作用，正如其他研究所发现的那样。最后，我们还提出了一些反直觉的政策策略，能够通过部分减少信息来抑制波动。
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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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