dorsal/arxiv
View SchemaSocial Behaviour of Agents: Capital Markets and Their Small Perturbations
| Authors | Ondrej Hudak, Jana Tothova |
|---|---|
| Categories | |
| ArXiv ID | physics/0505086 |
| URL | https://arxiv.org/abs/physics/0505086 |
| License | http://creativecommons.org/licenses/by/4.0/ |
Abstract
We study social behaviour of agents on capital markets when these are perturbed by small perturbations. We use the mean field method. Social behaviour of agents on capital markets is described: volatility of the market, aversion constant and equilibrium states are discussed. Relaxation behaviour of agents on the capital market is studied. Equation of motion for the agent average number is of the relaxation type. Development of the group of agents in the states corresponding to minimum of the aim function is either linear either exponentially damped. There exist characteristic volatility constants $ V_{c3} $ and $ V_{c3} $. The constant b of verification of information contribution to the aversion constant A and the $ A_{0} $ constant of aversion are distinguishing three types of dependencies of the minimum of the aim function on the expected volatility EV and on the expected returns E. Arbitrage trades and group forces lead the group into the equilibrium state. Verification of information intensity influences return back to the equilibrium state. The linear in time damping to the equilibrium state is characterized with the characteristic time $ T_{3}$ and $ T_{6} $, the exponential with a characteristic time $ \tau $. Their dependence on the expected volatility, on the expected profit and characteristics of agents is discussed.
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"abstract": "We study social behaviour of agents on capital markets when these are\nperturbed by small perturbations. We use the mean field method. Social\nbehaviour of agents on capital markets is described: volatility of the market,\naversion constant and equilibrium states are discussed. Relaxation behaviour of\nagents on the capital market is studied. Equation of motion for the agent\naverage number is of the relaxation type. Development of the group of agents in\nthe states corresponding to minimum of the aim function is either linear either\nexponentially damped. There exist characteristic volatility constants $ V_{c3}\n$ and $ V_{c3} $. The constant b of verification of information contribution to\nthe aversion constant A and the $ A_{0} $ constant of aversion are\ndistinguishing three types of dependencies of the minimum of the aim function\non the expected volatility EV and on the expected returns E. Arbitrage trades\nand group forces lead the group into the equilibrium state. Verification of\ninformation intensity influences return back to the equilibrium state. The\nlinear in time damping to the equilibrium state is characterized with the\ncharacteristic time $ T_{3}$ and $ T_{6} $, the exponential with a\ncharacteristic time $ \\tau $. Their dependence on the expected volatility, on\nthe expected profit and characteristics of agents is discussed.",
"arxiv_id": "physics/0505086",
"authors": [
"Ondrej Hudak",
"Jana Tothova"
],
"categories": [
"physics.soc-ph"
],
"license": "http://creativecommons.org/licenses/by/4.0/",
"title": "Social Behaviour of Agents: Capital Markets and Their Small Perturbations",
"url": "https://arxiv.org/abs/physics/0505086"
},
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