Working Paper Article Version 1 This version is not peer-reviewed

The Stock Market Model With Decayed Information Impact From a Socioeconomic View

Version 1 : Received: 19 May 2021 / Approved: 28 May 2021 / Online: 28 May 2021 (13:53:24 CEST)

A peer-reviewed article of this Preprint also exists.

Wang, Z.; Shi, G.; Shang, M.; Zhang, Y. The Stock Market Model with Delayed Information Impact from a Socioeconomic View. Entropy 2021, 23, 893. Wang, Z.; Shi, G.; Shang, M.; Zhang, Y. The Stock Market Model with Delayed Information Impact from a Socioeconomic View. Entropy 2021, 23, 893.

Journal reference: Entropy 2021, 23, 893
DOI: 10.3390/e23070893

Abstract

Finding the key factor and possible "Newton's laws" in financial markets has remained the central issue in this area. However, with the development of information and communication technologies, financial models are becoming more and more realistic but complex which is contradictory to the objective law “Greatest truths are the simplest”. Therefore, this paper attempts to discover the most critical parameter and establishes an evolutionary model which is independent of micro features. In the model, information is the only key factor and stock price is the emergence of the collective behavior. The statistical properties of the model are significantly similar to the real market. It also explains the correlations of stocks within an industry, which provide a new idea for the study of key factors and core structures in the financial market.

Keywords

econophysics; financial complexity; collective intelligence; emergent property; stock correlation; detrended cross-correlation analysis

Subject

PHYSICAL SCIENCES, Acoustics

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