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原文連結
論文資訊
- 類型：已發表論文
- 日期：2008
摘要
We consider the financial market as a model system and study empirically how 智能體s strategically adjust the properties of large orders in order to meet their preference and minimize their impact. We quantify this strategic behavior by detecting 縮放律 relations between the variables characterizing the trading activity of different institutions. We also observe power-law distributions in the investment time horizon, in the number of transactions needed to execute a large order, and in the traded value exchanged by large institutions, and we show that heterogeneity of 智能體s is a key ingredient for the 湧現 of some aggregate properties characterizing this 複雜系統.
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