Is Price Behavior Scaling and Multiscaling in a Dealer Market? Perspectives from Multi-Agent Based Experiments
Is Price Behavior Scaling and Multiscaling in a Dealer Market? Perspectives from Multi-Agent Based Experiments
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DOI：
10.1007/s10614-010-9214-2
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发表时间：
2010-10
影响因子：
2
通讯作者：
Ling-Yun He
中科院分区：
文献类型：
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作者：
Ling-Yun He
实证结果指出，在许多经销商市场的标度和多标度属性可以找到。但这些资产是如何从这些金融市场中脱颖而出的呢？这些非线性性质的动力学原因是什么？它们是随机扰动的结果，还是市场内在特征的结果？为了回答这些问题，首先，我提出了一个最小结构的代理商市场模型，然后在几个场景下进行了大量的实验。这个人工金融市场由具有有限理性和异质性的异质主体和负责市场流动性和供求平衡的交易商组成。通过基于不同情景的模拟，生成交易时间序列（价格、交易量、波动率等），然后使用多重分形去趋势波动分析（MF-DFA）进行分析。有趣的是，生成的价格序列显示缩放和多尺度功能，这是一致的实证研究结果在真实的市场。此外，这些属性的合理解释是非线性的时间相关性，而不是概率分布后，序列被洗牌和相位随机化。所有的研究结果表明，这些非线性的性质可能来自市场参与者的异质性和相互作用，因此，他们可能是经销商市场的基本特征。
Empirical findings point out that the scaling and multiscaling properties can be found in many dealer markets. But how do these properties emerge from these financial markets? What are the dynamical causes for these nonlinear properties? Are they the results of random perturbations, or of the intrinsic characteristics of the markets? To answer these questions, first of all, I proposed a minimally structured agent-based model of a dealer market, and then conducted many experiments under several scenarios. This artificial financial market is occupied with heterogeneous agents characterized with bounded rationality and heterogeneity, and a dealer who is responsible for market liquidity and supply-demand balance. By means of simulations based on different scenarios, trading time series (prices, volumes, volatilities, etc) are generated and then are analyzed by Multi-Fractal Detrended Fluctuation Analysis (MF-DFA). Interestingly, the generated price series display scaling and multiscaling features, which is consistent with empirical findings in the real markets. Furthermore, the plausible explanation for these properties is nonlinear temporal correlation instead of probability distribution after the series are shuffled and phase randomized. All of the results imply that these properties of nonlinearity may derive from market participants’ heterogeneity and mutual interactions; thereby, they may be the underlying characteristics of dealer markets.