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泡沫、崩盘与间歇性的基于主体市场模型

文章 arXiv papers · 作者: Irene Giardina et al.
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总结

本研究考察一个受圣菲人工市场和少数者博弈启发的市场模型。代理可以根据相对盈利能力选择策略，也可以退出市场。价格会随超额需求变化，同时模型追踪代理的财富。模型行为主要取决于价格冲击，以及趋势跟随行为与逆向行为之间的平衡。

改变这些参数会产生伴随泡沫和崩盘的振荡市场、间歇性市场以及稳定的理性状态。在间歇性阶段，价格变化呈现出与观察到的金融数据相似的特征，包括较弱的线性相关性、厚尾和持续的波动率聚集。作者还分析参数变化如何使系统进入该阶段，以及策略随机变化如何解释长程活动相关性。这些是市场模型的结果，并不能证明相同机制可以充分解释真实市场。研究还考察交易成本和财富分布。

核心观点

  • 代理根据相对盈利能力参与市场并选择策略，也可以选择退出市场。
  • 价格冲击以及趋势跟随行为与逆向行为之间的平衡塑造了模型的不同状态。
  • 模型产生振荡、间歇和稳定的市场阶段。
  • 模拟的间歇性收益呈现厚尾、较弱的线性相关性和波动率聚集。
  • 作者提出，策略的随机变化可能解释长程活动相关性。

标签

市场微观结构统计学波动率趋势跟踪
全文
# Bubbles, crashes and intermittency in agent based market models


# Bubbles, crashes and intermittency in agent based market models









We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the possibility of not participating to the market. The price is updated according to the excess demand, and the wealth of the agents is properly accounted for. Only two parameters play a significant role: one describes the impact of trading on the price, and the other describes the propensity of agents to be trend following or contrarian. We observe three different regimes, depending on the value of these two parameters: an oscillating phase with bubbles and crashes, an intermittent phase and a stable `rational' market phase. The statistics of price changes in the intermittent phase resembles that of real price changes, with small linear correlations, fat tails and long range volatility clustering. We discuss how the time dependence of these two parameters spontaneously drives the system in the intermittent region. We analyze quantitatively the temporal correlation of activity in the intermittent phase, and show that the `random time strategy shift' mechanism that we proposed earlier allows one to understand the observed long ranged correlations. Other mechanisms leading to long ranged correlations are also reviewed. We discuss several other issues, such as the formation of bubbles and crashes, the influence of transaction costs and the distribution of agents wealth.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。