A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its own trading volume at its last trade. The price return is determined by the volume imbalance...

We investigate statistical properties of the German Dax and Chinese indices, including the volatility distribution, autocorrelation function, DFA function and return-volatility correlation function, with both the daily data and minutely data. At the minutely time scale, the Chinese indices may...

We present a relatively detailed analysis of the persistence probability distributions in financial dynamics. Compared with the auto-correlation function, the persistence probability distributions describe dynamic correlations non-local in time. Universal and non-universal behaviors of the...

We present a relatively detailed analysis of the persistence probability distributions in financial dynamics. Compared with the auto-correlation function, the persistence probability distributions describe dynamic correlations nonlocal in time. Universal and non-universal behaviors of the German...

A dynamic feed-back interaction is introduced to the Eguiluz–Zimmermann model (Phys. Rev. Lett. 85 (2000) 5659). In application to financial dynamics, transmission of information at time t′ is supposed to depend on the variation of the financial index at t′-1. The generated time series is...

Payoffs which depend on the scores of the strategies are introduced into the standard Minority Game (MG). The double-periodicity behavior of the standard model is consequently removed, and stylized facts arise, such as long-range volatility correlations and “fat-tails” of the probability...

A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behaviors are observed for the return variance $\sigma^2$, the price impact $H$ and the predictability $K$ for both models with linear and square root impact functions. The sum of the traders'...

A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behavior is observed for the return variance σ2, the price impact H and the predictability K for both models, with linear and square root impact functions. The sum of the traders’ wealth...

The Yangtze River Economic Belt (YEB) and the Yellow River Ecological Economic Belt (YREB) surround the two biggest inland rivers and emit the greatest amount of carbon emissions in China. In order to implement China's dual carbon goal, this research applies a Meta-frontier DN-DEA model,...