Replicating financial market dynamics with a simple self-organized critical lattice model

被引：13

作者：

Dupoyet, B. ^{[2
]}

Fiebig, H. R. ^{[1
]}

Musgrove, D. P. ^{[1
]}

机构：

[1] Florida Int Univ, Dept Phys, Miami, FL 33199 USA

[2] Florida Int Univ, Dept Finance, Miami, FL 33199 USA

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2011年 / 390卷 / 18-19期

关键词：

Econophysics; Financial markets; Statistical field theory; Self-organized criticality; STOCK-MARKET; EVOLUTION;

D O I：

10.1016/j.physa.2011.04.017

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We explore a simple lattice field model intended to describe statistical properties of high-frequency financial markets. The model is relevant in the cross-disciplinary area of econophysics. Its signature feature is the emergence of a self-organized critical state. This implies scale invariance of the model, without tuning parameters. Prominent results of our simulation are time series of gains, prices, volatility, and gains frequency distributions, which all compare favorably to features of historical market data. Applying a standard GARCH(1,1) fit to the lattice model gives results that are almost indistinguishable from historical NASDAQ data. Published by Elsevier B.V.

引用

页码：3120 / 3135

页数：16

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