Lu Yunfan, Wang Jun, Niu Hongli
School of Science, Beijing Jiaotong University, Beijing 100044, People's Republic of China.
Chaos. 2015 Oct;25(10):103103. doi: 10.1063/1.4930314.
Based on the epidemic dynamical system, we construct a new agent-based financial time series model. In order to check and testify its rationality, we compare the statistical properties of the time series model with the real stock market indices, Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index. For analyzing the statistical properties, we combine the multi-parameter analysis with the tail distribution analysis, the modified rescaled range analysis, and the multifractal detrended fluctuation analysis. For a better perspective, the three-dimensional diagrams are used to present the analysis results. The empirical research in this paper indicates that the long-range dependence property and the multifractal phenomenon exist in the real returns and the proposed model. Therefore, the new agent-based financial model can recurrence some important features of real stock markets.
基于流行病动力学系统，我们构建了一个新的基于主体的金融时间序列模型。为了检验和验证其合理性，我们将该时间序列模型的统计特性与实际股票市场指数——上海证券交易所综合指数和深圳证券交易所成份指数进行比较。为了分析统计特性，我们将多参数分析与尾部分布分析、修正重标极差分析以及多重分形去趋势波动分析相结合。为了获得更好的视角，我们使用三维图来呈现分析结果。本文的实证研究表明，实际收益和所提出的模型中存在长期相关性和多重分形现象。因此，新的基于主体的金融模型能够重现实际股票市场的一些重要特征。
