DocumentCode :
2604917
Title :
An analysis on stock market evolution based on birth-death process
Author :
Peng-ju, Zhao
Author_Institution :
Sch. of Econ. & Manage., Zhongyuan Univ. of Technol., Zhengzhou, China
fYear :
2010
fDate :
24-26 Nov. 2010
Firstpage :
1192
Lastpage :
1197
Abstract :
Friedman considered that financial market should eliminate the irrational traders. For the sake of analyzing such a point, established a model adopt by the birth-death process to research the stock market which has rational traders and irrational traders. We studied the velocity of rational traders and irrational traders entering and quitting the stock market. Based on this we can analysis the dynamic rule of the increase or decrease of the numbers of rational traders and irrational traders in stock market. The conclusion is that the irrational traders may not be eliminated from the stock market. Their survival or disappear depend on many factors. Such factors include the initial wealth of irrational traders, the profits and losses of irrational traders, etc.
Keywords :
evolutionary computation; probability; stock markets; birth-death process; financial market; stock market evolution; Analytical models; Equations; Exponential distribution; Force; Portfolios; Stochastic processes; Stock markets; birth-death process; irrational traders; rational traders; stock market evolution;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Management Science and Engineering (ICMSE), 2010 International Conference on
Conference_Location :
Melbourne, VIC
ISSN :
2155-1847
Print_ISBN :
978-1-4244-8116-3
Type :
conf
DOI :
10.1109/ICMSE.2010.5719946
Filename :
5719946
Link To Document :
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