scholarly journals Evolutionary Game Model of Stock Price Synchronicity from Investor Behavior

2020 ◽  
Vol 2020 ◽  
pp. 1-9
Author(s):  
Yue Dong ◽  
Yuhao Zhang ◽  
Jinnan Pan ◽  
Tingqiang Chen
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Stock Price ◽  
Replicator Dynamics ◽  
Evolutionary Game ◽  
Equilibrium Strategy ◽  
Individual Investors ◽  
Game Model ◽  
Stock Price Synchronicity ◽  
The Cost

Institutional and individual investors are the two important players in the stock market. Together, they determine the price of the stock market. In this paper, an evolutionary game model that contains the two groups of players is proposed to analyze the stock price synchronicity considering the impacts of investors’ decisions on stock investment. Factors affecting investors’ decisions include the potential revenue or loss, the probability of gain or loss, and the cost of corresponding behavior. The proposed game model is analyzed by replicator dynamics equations and simulation of the evolutionary equilibrium strategy under different circumstances. The analysis shows that the operating cost of institutional investors, the cost of information collection before trading, and the expected loss that may be punished by regulators are the key factors that affect the evolutionary game system between institutional investors and individual investors. In addition, reducing the speculation in the market and increasing the information access of investors through the serious operation mode of institutional investors and the strengthening of the market information disclosure mechanism are beneficial to alleviate price synchronicity in stock market.

Evolutionary game analysis of information sharing by institutional investors

2021 ◽  
pp. 1-9
Author(s):  
Hua Li ◽  
Qingqing Lou ◽  
Qiubai Sun ◽  
Bowen Li
Keyword(s):  
Information Sharing ◽  
Institutional Investors ◽  
Information Exchange ◽  
Evolutionary Game ◽  
Stable State ◽  
Point Of View ◽  
Game Model ◽  
Game Analysis ◽  
Relationship Network ◽  
The Relationship

In order to solve the conflict of interests of institutional investors, this paper uses evolutionary game model. From the point of view of information sharing, this paper discusses four different situations. Only when the sum of risk and cost is less than the penalty of free riding, the evolution of institutional investors will eventually incline to the stable state of information sharing. That is, the phenomenon of hugging. The research shows that the institutional investors are not independent of each other, but the relationship network of institutional investors for the purpose of information exchange. The content of this paper enriches the research on information sharing of institutional investors.

scholarly journals Research on Cooperative Innovation Behavior of Industrial Cluster Based on Subject Adaptability

2016 ◽  
Vol 2016 ◽  
pp. 1-19 ◽  
Author(s):  
Xiaohui Jia ◽  
Minghui Jiang ◽  
Lei Shi
Keyword(s):  
Steady State ◽  
Evolutionary Game ◽  
Industrial Cluster ◽  
Industrial Clusters ◽  
Government Support ◽  
Correlated Equilibrium ◽  
Game Model ◽  
Cooperative Innovation ◽  
The Cost ◽  
The Impact

From the perspective of the interactive cooperation among subjects, this paper portrays the process of cooperative innovation in industrial cluster, in order to capture the correlated equilibrium relationship among them. Through the utilization of two key tools, evolutionary stable strategy and replicator dynamics equations, this paper considers the cost and gains of cooperative innovation and the amount of government support as well as other factors to build and analyze a classic evolutionary game model. On this basis, the subject’s own adaptability is introduced, which is regarded as the system noise in the stochastic evolutionary game model so as to analyze the impact of adaptability on the game strategy selection. The results show that, in the first place, without considering subjects’ adaptability, their cooperation in industrial clusters depends on the cost and gains of innovative cooperation, the amount of government support, and some conditions that can promote cooperation, namely, game steady state. In the second place after the introduction of subjects’ adaptability, it will affect both game theory selection process and time, which means that the process becomes more complex, presents the nonlinear characteristics, and helps them to make faster decisions in their favor, but the final steady state remains unchanged.

scholarly journals Disposition Effect and Return Predictability in the Tunisian Stock Market

2017 ◽  
Vol 4 (1) ◽  
pp. 1
Author(s):  
Cheïma Hmida ◽  
Ramzi Boussaidi
Keyword(s):  
Stock Market ◽  
Behavioral Finance ◽  
Stock Prices ◽  
Stock Price ◽  
Return Predictability ◽  
Capital Gains ◽  
Disposition Effect ◽  
Individual Investors ◽  
Long Run ◽  
Return Reversal

The behavioral finance literature has documented that individual investors tend to sell winning stocks more quickly than losing stocks, a phenomenon known as the disposition effect, and that such a behavior has an impact on stock prices. We examined this effect in the Tunisian stock market using the unrealized capital gains/losses of Grinblatt & Han (2005) to measure the disposition effect. We find that the Tunisian investors exhibit a disposition effect in the long-run horizon but not in the short and the intermediate horizons. Moreover, the disposition effect predicts a stock price continuation (momentum) for the whole sample. However this impact varies from an industry to another. It predicts a momentum for “manufacturing” but a return reversal for “financial” and “services”.

scholarly journals Does Whistleblowing Work for Air Pollution Control in China? A Study Based on Three-party Evolutionary Game Model under Incomplete Information

2019 ◽  
Vol 11 (2) ◽  
pp. 324 ◽  
Author(s):  
Yunpeng Yang ◽  
Weixin Yang
Keyword(s):  
Air Pollution ◽  
Local Government ◽  
Incomplete Information ◽  
Environmental Protection ◽  
Central Government ◽  
Replicator Dynamics ◽  
Evolutionary Game ◽  
Game Model ◽  
Government Officials ◽  
Local Government Officials

During China’s air pollution campaign, whistleblowing has become an important way for the central government to discover local environmental issues. The three parties involved in whistleblowing are: the central government environmental protection departments, the local government officials, and the whistleblowers. Based on these players, this paper has constructed an Evolutionary Game Model under incomplete information and introduced the expected return as well as replicator dynamics equations of various game agents based on analysis of the game agents, assumptions, and payoff functions of the model in order to study the strategic dynamic trend and stability of the evolutionary game model. Furthermore, this paper has conducted simulation experiments on the evolution of game agents’ behaviors by combining the constraints and replicator dynamics equations. The conclusions are: the central environmental protection departments are able to effectively improve the environmental awareness of local government officials by measures such as strengthening punishment on local governments that do not pay attention to pollution issues and lowering the cost of whistleblowing, thus nurturing a good governance and virtuous circle among the central environmental protection departments, local government officials, and whistleblowers. Based on the study above, this paper has provided policy recommendations in the conclusion.

scholarly journals An Incentive Mechanism for Reporting Phishing E-Mails Based on the Tripartite Evolutionary Game Model

2021 ◽  
Vol 2021 ◽  
pp. 1-8
Author(s):  
Mengli Wang ◽  
Lipeng Song
Keyword(s):  
Real World ◽  
Incentive Mechanism ◽  
Replicator Dynamics ◽  
Evolutionary Game ◽  
Evolutionary Stable Strategy ◽  
Evolution Process ◽  
Game Model ◽  
Stable Strategy ◽  
Important Link ◽  
E Mail

The human is considered as the important link in the phishing attack, and the e-mail security provider encourages users to report suspicious e-mails. However, evidence suggests that reporting is scarce. Therefore, we study how to motivate users to report phishing e-mails in this paper. To solve the problem, a tripartite evolutionary game model among e-mail security providers, e-mail users, and attackers is constructed. We obtain the desired evolutionary stable strategy through solving the replicator dynamics equations. Moreover, the evolution process to the desired evolutionary stable strategy is derived, which can guide the e-mail security provider to make a reasonable incentive mechanism. Lastly, we experiment with a large real-world e-mail network. The experiment results show that our model is effective and practical.

Volatility–Volume Relationships Among Types of Traders Considering the Investment Limitation to Foreign Investors

2006 ◽  
Vol 09 (04) ◽  
pp. 575-596 ◽  
Author(s):  
Ching-Mann Huang ◽  
Tsai-Yin Lin ◽  
Chih-Hsien Yu ◽  
Si-Ying Hoe
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Trading Volume ◽  
Individual Investors ◽  
Volume Data ◽  
Foreign Investors ◽  
Volume Relationship ◽  
Before And After ◽  
The Individual

This paper examines the volatility–volume relationship in Taiwan stock market, using volume data categorized by type of trader. We consider before and after our event period of lifting the investment restrictions for foreign investors. We partition trading volume into expected and unexpected volume and find that the unexpected volume shocks for individual investors are more important than the expected volume shocks in explaining volatility before lifting the investment restrictions for the foreign investors. We find that the positive volatility–volume relationship is driven by the individual investors even during the period of the lifting of investment restrictions for foreign investors. However, with respect to institutional investors, before the removal of investment restrictions for foreign investors, the unexpected volume of trading of the domestic dealers exhibit positive volatility–volume relationship. Further, after the removal of investment restrictions, the unexpected volume of the foreign investors has a positive volatility–volume relationship.

scholarly journals Packet Forwarding Strategies in Multiagent Systems: An Evolutionary Game Approach

2018 ◽  
Vol 2018 ◽  
pp. 1-14
Author(s):  
Yuanjie Li ◽  
Xiaojun Wu
Keyword(s):  
Multiagent Systems ◽  
Replicator Dynamics ◽  
Evolutionary Game ◽  
Game Model ◽  
Packet Forwarding ◽  
Evolutionarily Stable Strategies ◽  
Incentive Mechanisms ◽  
Average Probability ◽  
Save Energy ◽  
Stable Points

In multiagent systems (MASs), agents need to forward packets to each other to accomplish a target task. In this paper, we study packet forwarding among agents using evolutionary game theory under the mechanisms of Carrier Sense Multiple Access/Collision Avoidance (CSMA/CA). Packet forwarding among agents plays a key role to stabilize the whole MAS. We study the transfer probability of packet forwarding of agents at the idle state or the busy state and computer the probability of the packet forwarding for a MAS. When agents make their decisions to select Forward or No-Forward strategy, a packet forwarding evolutionary game model is built to reflect the utilities of different packet forwarding strategies. Two incentive mechanisms are introduced into the game model. One is to motivate agents to strengthen cooperation; the other is to encourage agents to select the No-Forward strategy to save energy while they are in the busy state. The parameter value that encourages an agent to select the No-Forward strategy is inversely proportional to the average probability of the packet forwarding. The replicator dynamics of agent packet forwarding strategy evolution are given. We propose and prove the theorems indicating that evolutionarily stable strategies (ESSs) can be attained. The results of simulation experiments verify the correctness of the proposed theorems and the effects of the two incentive mechanisms and the probability of packet forwarding, which assures the robustness of evolutionary stable points among agents in MASs.

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