Yip Kin Fung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 101-104). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- The Distribution of Fluctuations in Financial Data --- p.5 / Chapter 2.1 --- Empirical Statistics --- p.5 / Chapter 2.2 --- Data analyzed --- p.8 / Chapter 2.3 --- Levy Distribution --- p.10 / Chapter 2.4 --- Returns Distribution and Scaling Properties --- p.12 / Chapter 2.5 --- Volatility Clustering --- p.19 / Chapter 2.6 --- Conclusion --- p.21 / Chapter 3 --- Models of Herd behaviour in Financial Markets --- p.22 / Chapter 3.1 --- Cont and Bouchaud's model --- p.22 / Chapter 3.2 --- The Model of Egiuluz and Zimmerman --- p.24 / Chapter 3.3 --- EZ Model with Size-Dependent Dissociation Rates --- p.28 / Chapter 3.4 --- Democratic and Dictatorship Self-Organized Model --- p.31 / Chapter 3.5 --- Effect of Size-Dependent Fragmentation and Coagulation Prob- abilities --- p.33 / Chapter 3.6 --- Extensions of EZ model --- p.35 / Chapter 3.7 --- Conclusion --- p.39 / Chapter 4 --- Review on the Minority Game(MG) --- p.42 / Chapter 4.1 --- The Model and Results --- p.42 / Chapter 4.2 --- Crowd-anticrowd Theory and Phase Transition --- p.46 / Chapter 4.3 --- Market Efficiency --- p.48 / Chapter 5 --- MG with biased strategy pool --- p.52 / Chapter 5.1 --- The Model --- p.53 / Chapter 5.2 --- Numerical Results and Discussion --- p.53 / Chapter 5.3 --- Theory: MG with Biased Strategy Pool --- p.61 / Chapter 5.4 --- Conclusion --- p.69 / Chapter 6 --- MG with Randomly Participating Agents --- p.71 / Chapter 6.1 --- The Model with One RPA --- p.71 / Chapter 6.2 --- Results for q = 0.5 --- p.72 / Chapter 6.3 --- Inefficiency and Success Rate --- p.76 / Chapter 6.4 --- Results for q ≠ 0.5 --- p.82 / Chapter 6.5 --- Many RPAs --- p.85 / Chapter 6.6 --- Conclusion --- p.86 / Chapter 7 --- A Model on Coupled Minority Games --- p.88 / Chapter 7.1 --- The Model --- p.89 / Chapter 7.2 --- Results and Discussion。 --- p.90 / Chapter 7.3 --- Conclusion --- p.95 / Chapter 8 --- Conclusion --- p.97 / Bibliography --- p.101 / Chapter A --- Solving Cluster Size distribution in EZ model --- p.105
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324378 |
| Date | January 2003 |
| Contributors | Yip, Kin Fung., Chinese University of Hong Kong Graduate School. Division of Physics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, xv, 108 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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