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- W2361210313 abstract "This paper establishes a model of stock market returns which involves the participation of rational traders and irrational traders,who adopt feedback trading strategy.The long-term autocorrelation of return series caused by feedback trading strategy results in anomalous diffusion,thus leading to fat tail phenomenon of the probability density function of the stock returns.Based on the model,we use Monte Carlo simulation method to produce a time series,compute the kurtosis,tail-index and the autocorrelation coefficient of the time series and compare it with the corresponding index of the real return series of Shanghai stock markets.It turns out that this model can sufficiently illustrate the characteristics of fat-tail and autocorrelation of stock market returns." @default.
- W2361210313 created "2016-06-24" @default.
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- W2361210313 date "2009-01-01" @default.
- W2361210313 modified "2023-10-16" @default.
- W2361210313 title "Feedback Trading and Fat-tail Distribution of Stock Market Returns" @default.
- W2361210313 hasPublicationYear "2009" @default.
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