Overall fluctuations and fat tails in an artificial financial market: The two-sided impact of leveraged trading

Yang, Guang; Zhu, Chenge; An, Kyungwon; Huang, Jiping

doi:10.1016/j.physleta.2015.04.018

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Cited by 6 publications

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“…The synchronous trading behaviors can aggravate the fluctuations. [12,13] Moreover, due to the synchrony of assets prices, the diversification of portfolios would not be ensured any more.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric and symmetric meta-correlations in financial markets

Li¹,

Shen²,

Huang³

2016

Chinese Phys. B

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In financial markets, the relation between fluctuations of stock prices and trading behaviors is complex. It is intriguing to quantify this kind of meta-correlation between market fluctuations and the synchronous behaviors. We refine the theoretical index leverage model proposed by Reigneron et al., to exactly quantify the meta-correlation under various levels of price fluctuations [Reigneron P A, Allez R and Bouchaud J P 2011 Physica A 390 3026]. The characteristics of meta-correlations in times of market losses, are found to be significantly different in Chinese and American financial markets. In addition, unlike the asymmetric results at the daily scale, the correlation behaviors are found to be symmetric at the high-frequency scale.

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“…The synchronous trading behaviors can aggravate the fluctuations. [12,13] Moreover, due to the synchrony of assets prices, the diversification of portfolios would not be ensured any more.…”

Section: Introductionmentioning

confidence: 99%