Dresden 2006 – wissenschaftliches Programm
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AKSOE: Physik sozio-ökonomischer Systeme
AKSOE 14: Financial Markets and Risk Management III
AKSOE 14.2: Vortrag
Donnerstag, 30. März 2006, 16:30–17:00, BAR 205
Herding behaviour and persistence probabilities in the financial market — •Steffen Trimper1 and Bo Zheng2 — 1Fachbereich Physik, Martin-Luther-Universität, Friedemann-Bach-Platz, 06108 Halle — 2Zhejiang Institute of Modern Physics, Hangzhou, China
Economic systems such as financial markets are similar to physical systems far from equilibrium in that they are compromised of a large number of interacting agents. Therefore, methods established in statistical mechanics can be applied useful to describe certain aspects of financial systems. Here we concentrate us to three points. (i) The recently discovered two-phase phenomena in financial markets is examined with the German index DAX. We show that also an interacting herding model is able to produce the two-phase behaviour. (ii) A generalized dynamic herding model with feedback interactions is introduced within the Eguiluz-Zimmermann model. Here the transmission of information at time t is assumed to be dependent on the variation of the index at a former time. Both the static and the dynamic behaviour of the correlation function are discussed. Moreover, we present a detailed analysis of the persistence probability of the German DAX and the Shanghai Index. (iii) Within daily and minutely data of the DAX and the Chinese Index we analyse the return-volatility correlation function, and find a leverage effect for the German market while an anti-leverage effect for the Chinese market. B.Zheng, F.Ren, S.Trimper, and D.F Zheng, Physica A343, 653 (2004); F. Ren, B.Zheng, H.Lin, and S.Trimper, Physica A 350, 439 (2005), B.Zheng, T. Qui,F. Ren, and S. Trimper, Leverage and anti-leverage effects in financial markets.