Modeling and analysis of an agent-based model for Chinese stock market

被引：14
|
作者：
Yang, Chun-Xia [1 ]
Wang, Rui [1 ]
Hu, Sen [2 ]
机构：
[1] Nanjing Univ Informat Sci & Technol, Sch Informat & Control, Nanjing 210044, Jiangsu, Peoples R China
[2] Yancheng Teachers Univ, Coll Business, Yancheng 224000, Peoples R China
来源：
PHYSICS LETTERS A | 2013年 / 377卷 / 34-36期
基金：
中国国家自然科学基金;
关键词：
Multi-agent; Order-driven; Artificial stock market model; Detrended fluctuation analysis; SELF-ORGANIZED PERCOLATION; ORDER-DRIVEN MARKET; FINANCIAL MARKET; LONG-MEMORY; STYLIZED FACTS; FLUCTUATIONS; DYNAMICS; VOLATILITY; EVOLUTION; BEHAVIOR;
D O I：
10.1016/j.physleta.2013.06.026
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
We constructed an agent-based stock market model which concisely describe investors' heterogeneity and adaptability by introducing price sensitivity and feedback time. Under different parameters, the peak and fat-tail property of return distribution is produced and the obtained statistic values coincide with empirical results: the center peak exponents range from -0.787 to -0.661, and the tail exponents range from -4.29 to -2.37. Besides, long-term correlation in volatility is examined by DFA1 method, and the obtained exponent a is 0.803, which also coincides with the exponent of 0.78 found in real market. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：2041 / 2046
页数：6
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