Scaling in Different Dynamic Regimes of a Multi-agent Stock Market Model

摘要：

Approaches of both theoretical analysis and computer simulation are used to study a stochastic multi-agent stock market model. Theoretical analysis provides the parameter settings for different dynamic regimes including fundamental equilibrium, non-fundamental equilibrium, periodicity and chaos. Agent-based computer simulations with those settings are performed to produce the price series. Statistical analysis of these data shows: markets of all regimes present power law scaling of the return distribution and temporal dependence in volatility; the fundamental equilibrium regime has the largest scaling exponent a of the Pareto distribution for return and smallest self-similarity exponent H of temporal dependence in volatility, and nonfundamental equilibrium regime has the smallest a and largest H, with periodicity and chaos regimes in between.

作者: Tongkui Yu

作者单位: College of Computer and Information Science Southwest University, Chongqing, P. R. China

会议类型: 国际会议

会议名称: The Third International Joint Conference on Computational Science and Optimization(第三届计算科学与优化国际大会 CSO 2010)

会议地点: 黄山

会议语种:英文

页码: 143-146

在线出版日期: 2010-05-28（万方平台首次上网日期，不代表论文的发表时间）