The Stock Market Model with Delayed Information Impact from a Socioeconomic View

Abstract

Finding the critical factor and possible “Newton’s laws” in financial markets has been an important issue. However, with the development of information and communication technologies, financial models are becoming more realistic but complex, contradicting the objective law “Greatest truths are the simplest.” Therefore, this paper presents an evolutionary model independent of micro features and attempts to discover the most critical factor. In the model, information is the only critical factor, and stock price is the emergence of 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 provides a new idea for studying critical factors and core structures in the financial markets.

The Linear Relationship Model with LASSO for Studying Stock Networks

“…We recently proposed to use mutual information to measure the nonlinear dependencies between stocks [ 21 , 22 ]. The information theory has been used recently to study stock relationship networks and other related financial problems [ 23 , 24 , 25 , 26 , 27 , 28 , 29 , 30 , 31 , 32 ]. It is important to emphasize that the complexity of stock market systems may lead to a number of interactive patterns among stocks, and hence different measurements are needed to produce financial networks.…”