An Extended Speculation Game for the Recovery of Hurst Exponent of Financial Time Series

被引：1
|
作者：
Katahira, Kei [1 ]
Chen, Yu [1 ]
机构：
[1] Univ Tokyo, Grad Sch Frontier Sci, 5-1-5 Kashiwanoha, Kashiwa, Chiba 2778563, Japan
来源：
NEW MATHEMATICS AND NATURAL COMPUTATION | 2020年 / 16卷 / 02期
关键词：
Cognitive agent-based model; round-trip trading; financial stylized facts;
D O I：
10.1142/S1793005720500192
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
The speculation game is an agent-based toy model to investigate the dynamics of the financial market. Our model has achieved the reproduction of 10 of the well-known stylized facts for financial time series. However, there is also a divergence from the behavior of real market. The market price of the model tends to be anti-persistent to the initial price, resulting in the quite small value of Hurst exponent of price change. To overcome this problem, we extend the speculation game by introducing a perturbative part to the price change with the consideration of other effects besides pure speculative behaviors.
引用
收藏
页码：319 / 325
页数：7
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