Self-organized Speculation Game for the spontaneous emergence of financial stylized facts
Self-organized Speculation Game for the spontaneous emergence of financial stylized facts
复制标题
金融程式化事实自发出现的自组织投机游戏
DOI：
10.1016/j.physa.2021.126227
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发表时间：
2021
期刊：
影响因子：
3.3
通讯作者：
E.,
中科院分区：
文献类型：
--
作者：
Katahira;K.;Y. Chen;Akiyama;E.,
我们对投机游戏进行了改良，以减轻出现价格收益特征统计时对部分参数进行严格调整的需要。基于BTW沙堆模型的概念，该模型被称为自组织投机博弈（Self-organized Speculation Game， SOSG），在达到准临界状态的过程中，可以自发地调整市场参与者的数量。虽然最初的投机游戏保持了金融风格化事实的高再现性，但这个修改后的模型的行为特征，如系统规模的动态和幂律现象的观察，与BTW模型非常相似。市场规模是在一定范围内波动的演化规律，类似于砂堆模型中总沙粒的变化规律。SOSG推断，在真实的金融市场中，可能是自组织的准临界性在普遍金融程式化事实的自发出现背后起作用。
We sophisticate the Speculation Game to relax the need for rigorous tuning of a part of parameters for the emergence of characteristic statistics of price returns. Named as Self-organized Speculation Game (SOSG), thanks to the concept of the Bak–Tang–Wiesenfeld (BTW) sandpile model, the model can spontaneously adjust the number of market participants during the process of reaching the quasi-critical state. While the original Speculation Game’s high reproducibility of financial stylized facts is maintained, the behavioral characteristics of this modified model, such as the dynamics of system size and the observations of power-law phenomena, strongly resemble those of the BTW model. The market size is evolutionally settled with fluctuations within a certain range, similar to the total sand grains behave in the sandpile model. SOSG infers the possibility that, in the real financial markets, it could be the self-organized quasi-criticality which works behind the spontaneous emergence of universal financial stylized facts.