An Extended Speculation Game for the Recovery of Hurst Exponent of Financial Time Series
An Extended Speculation Game for the Recovery of Hurst Exponent of Financial Time Series
复制标题
金融时间序列赫斯特指数恢复的扩展投机博弈
DOI：
10.1142/s1793005720500192
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发表时间：
2020
影响因子：
1
通讯作者：
Chen Yu
中科院分区：
文献类型：
--
作者：
Katahira Kei;Chen Yu
投机游戏是一种基于代理的玩具模型，用于研究金融市场的动态。我们的模型已经实现了金融时间序列的10个著名的程式化事实的再现。但也存在与真实的市场行为的背离。该模型的市场价格对初始价格具有反持续性，导致价格变化的Hurst指数非常小。为了克服这个问题，我们通过引入一个扰动部分的价格变化与考虑的其他影响，除了纯粹的投机行为的投机博弈。
The speculation game is an agent-based toy model to investigate the dynamics of the financial market. Our model has achieved the reproduction of 10 of the well-known stylized facts for financial time series. However, there is also a divergence from the behavior of real market. The market price of the model tends to be anti-persistent to the initial price, resulting in the quite small value of Hurst exponent of price change. To overcome this problem, we extend the speculation game by introducing a perturbative part to the price change with the consideration of other effects besides pure speculative behaviors.
二维 ±J 伊辛自旋玻璃中的渗流跃迁
DOI：
10.1016/s0378-4371(97)00351-8
发表时间：
1997
影响因子：
3.3
作者：
H. Imaoka;H. Ikeda;Y. Kasai
通讯作者：
Y. Kasai