Models of Artificial Foreign Exchange Markets
Models of Artificial Foreign Exchange Markets
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人工外汇市场模型
DOI：
10.1007/978-3-662-09799-1_15
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发表时间：
1997
期刊：
影响因子：
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通讯作者：
R. Chatagny
中科院分区：
文献类型：
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作者：
B. Chopard;R. Chatagny
经济过程是难以描述和理解的，因为没有理论可以像物理科学中出现的更经典的现象那样解释它们。然而，经济过程在我们的日常生活中起着至关重要的作用，人们投入了大量的精力来预测未来的趋势，并了解各种参数如何影响演变。经济过程的特征通常由时间序列给出（例如，作为时间函数的两种货币之间的汇率，或股票市场中某些金融指数的价值）。观察到的行为看起来相当混乱和复杂，但更仔细的分析揭示了一些描述数据分布的潜在统计规律以及一些缩放特性。这表明，在这样一个系统的组件之间复杂的相互作用中出现了一些通用行为。特别是，一些尺度不变性显示，表明系统被观察的时间分辨率是动力学的关键因素。标度形式可以揭示经济过程中发生的基本相互作用的重要信息。因此，尺度可以提供一个统一的框架来描述金融系统，并将它们与其他复杂的动态现象联系起来。
Economic processes are difficult to describe and understand because there is no theory explaining them in the same way as the more classical phenomena appearing in physical sciences. Yet, economic processes play a crucial role in our everyday life and there is a great deal of effort devoted to predict future trends and understand how the various parameters may affect the evolution. The signature of an economical process is often given by a time series (for instance the exchange rate between two currencies as a function of time, or the value of some financial index in the stock market). The observed behavior looks rather chaotic and intricate but a more careful analysis reveals some underlying statistical laws describing the data distribution as well as some scaling properties. This indicates that some generic behaviors emerge out of the complicated interactions between the components of such a system. In particular, some scale invariance show up, indicating that the time resolution at which the system is observed is a crucial ingredient of the dynamics. The scaling form may reveal important information about the fundamental interactions that take place in an economical process. Thus, scaling may provide an unified framework to describe financial systems and relate them to other complex, dynamical phenomena.