Yang Ge, Wang Jun, Fang Wen
School of Science, Beijing Jiaotong University, Beijing 100044, China.
School of Economics and Management, Beijing Jiaotong University, Beijing 100044, China.
Chaos. 2015 Apr;25(4):043111. doi: 10.1063/1.4917550.
In an attempt to reproduce and study the dynamics of financial markets, a random agent-based financial price model is developed and investigated by the finite-range multitype contact dynamic system, in which the interaction and dispersal of different types of investment attitudes in a stock market are imitated by viruses spreading. With different parameters of birth rates and finite-range, the normalized return series are simulated by Monte Carlo simulation method and numerical studied by power-law distribution analysis and autocorrelation analysis. To better understand the nonlinear dynamics of the return series, a q-order autocorrelation function and a multi-autocorrelation function are also defined in this work. The comparisons of statistical behaviors of return series from the agent-based model and the daily historical market returns of Shanghai Composite Index and Shenzhen Component Index indicate that the proposed model is a reasonable qualitative explanation for the price formation process of stock market systems.
为了重现和研究金融市场的动态，基于有限范围多类型接触动态系统开发并研究了一种基于随机代理的金融价格模型，其中股票市场中不同类型投资态度的相互作用和扩散通过病毒传播来模拟。通过不同的出生率参数和有限范围，采用蒙特卡罗模拟方法模拟归一化收益序列，并通过幂律分布分析和自相关分析进行数值研究。为了更好地理解收益序列的非线性动态，本文还定义了q阶自相关函数和多重自相关函数。基于代理模型的收益序列与上证综合指数和深圳成分指数的每日历史市场收益的统计行为比较表明，所提出的模型对股票市场系统的价格形成过程是一个合理的定性解释。
