An evolutionary model of stock market based on percolation theory

Starting with the self-organized evolution of the trader groups´ structure, a microcosmic model for stock market is established, which is a betterment of the Cont-Bouchaud model. The amender model spontaneously shows more reasonable statistical characteristics than the original one. For instance, the distribution of return obeys the Lévy regime in the central part and follows a power-law at the tail. In Particular, the volatility clustering is present, of which the autocorrelation decays as a power law with an exponent of 0.21 in agreement with that of real stock market. Our improved evolutionary model may contribute to deeply understand the dynamical mechanics and evolution process of financial market.