Modeling and analysis of an agent-based model for Chinese stock market

Authored by Rui Wang, Chun-Xia Yang, Sen Hu

Date Published: 2013-11-01

DOI: 10.1016/j.physleta.2013.06.026

Sponsors: Chinese National Natural Science Foundation

Platforms: No platforms listed

Model Documentation: Other Narrative Mathematical description

Model Code URLs: Model code not found

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 a is 0.803, which also coincides with the exponent of 0.78 found in real market. (C) 2013 Elsevier B.V. All rights reserved.

Tags

Artificial stock market model Detrended fluctuation analysis Order-driven multi-agent