Modeling and analysis of an agent-based model for Chinese stock market |
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Authors: | Chun-Xia Yang Rui Wang Sen Hu |
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Institution: | 1. School of Information and Control, Nanjing University of Information Science and Technology, Nanjing 210044, China;2. Business College, Yancheng Teachers University, Yancheng 224000, China |
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Abstract: | We constructed an agent-based stock market model which concisely describe investors? heterogeneity and adaptability by introducing price sensitivity and feedback time. Under different parameters, the peak and fat-tail property of return distribution is produced and the obtained statistic values coincide with empirical results: the center peak exponents range from ?0.787 to ?0.661, and the tail exponents range from ?4.29 to ?2.37. Besides, long-term correlation in volatility is examined by DFA1 method, and the obtained exponent α is 0.803, which also coincides with the exponent of 0.78 found in real market. |
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Keywords: | Multi-agent Order-driven Artificial stock market model Detrended fluctuation analysis |
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