Scaling and criticality in a stochastic multi-agent model of a financial market
Scaling and criticality in a stochastic multi-agent model of a financial market
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DOI：
10.1038/17290
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发表时间：
1999-02-11
期刊：
影响因子：
64.8
通讯作者：
Marchesi, M
中科院分区：
文献类型：
--
作者：
Lux, T;Marchesi, M
金融价格已经被发现表现出一些普遍的特征（1-6），这些特征类似于表征大量单元相互作用的物理系统的标度律。这就提出了一个问题，即金融业的规模化是否也是以类似的方式出现的，即来自大量市场参与者的互动。然而，这种解释与经济学中流行的“有效市场假说”（7）相矛盾，该假说假设金融价格的变动是对未来盈利前景的即时和公正的反映。在这一假设下，价格变化的比例仅仅反映了影响它们的“输入”信号的类似比例。在这里，我们描述了一个多代理模型的金融市场支持的想法，即规模产生于参与者的相互作用。虽然在我们的模型中的“新闻到达过程”缺乏幂律缩放和波动的任何时间依赖性，我们发现，它产生这样的行为作为代理之间的相互作用的结果。
Financial prices have been found to exhibit some universal characteristics(1-6) that resemble the scaling laws characterizing physical systems in which large numbers of units interact. This raises the question of whether scaling in finance emerges in a similar way-from the interactions of a large ensemble of market participants. However, such an explanation is in contradiction to the prevalent 'efficient market hypothesis'(7) in economics, which assumes that the movements of financial prices are an immediate and unbiased reflection of incoming news about future earning prospects. Within this hypothesis, scaling in price changes would simply reflect similar scaling in the 'input' signals that influence them. Here we describe a multi-agent model of financial markets which supports the idea that scaling arises from mutual interactions of participants. Although the 'news arrival process' in our model lacks both power-law scaling and any temporal dependence in volatility, we find that it generates such behaviour as a result of interactions between agents.