Development of an agent-based speculation game for higher reproducibility of financial stylized facts
Development of an agent-based speculation game for higher reproducibility of financial stylized facts
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DOI：
10.1016/j.physa.2019.04.157
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发表时间：
2019-02
期刊：
影响因子：
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通讯作者：
Kei Katahira;Yu Chen;Gaku Hashimoto;H. Okuda
中科院分区：
文献类型：
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作者：
Kei Katahira;Yu Chen;Gaku Hashimoto;H. Okuda
同时再现所有金融程式化事实是如此困难，现有的大多数基于随机过程和基于代理的模型无法实现这一目标。在本研究中，借由扩充少数者游戏的决策结构，我们提出一个新的基于主体的模型，称为“投机游戏”，以更好地重现程式化的事实。新模型与以往的基于代理的金融市场自适应模型相比具有三个显著的特点：允许非统一的持有期和闲置期，包含历史价格变化的幅度信息，以及实施一个认知世界来评估资本收益和损失的投资策略。有了这些功能，投机游戏成功地再现了10个目前研究的11个程式化的事实在一个单一的参数设置。
Simultaneous reproduction of all financial stylized facts is so difficult that most existing stochastic process-based and agent-based models are unable to achieve the goal. In this study, by extending the decision-making structure of Minority Game, we propose a novel agent-based model called “Speculation Game,” for better reproducibility of the stylized facts. The new model has three distinct characteristics comparing with preceding agent-based adaptive models for the financial market: the enabling of nonuniform holding and idling periods, the inclusion of magnitude information of price change in history, and the implementation of a cognitive world for the evaluation of investment strategies with capital gains and losses. With these features, Speculation Game succeeds in reproducing 10 out of the currently well studied 11 stylized facts under a single parameter setting.