DETECTING FRACTAL/MULTIFRACTAL AND ASYMMETRIC PROPERTIES IN AN ARTIFICIAL QUOTE-DRIVEN FINANCIAL MARKET
文献类型：期刊论文
| 作者 | He, Ling-Yun1,2; Zheng, Feng3 |
| 刊名 | FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY
 |
| 出版日期 | 2010-03-01 |
| 卷号 | 18期号:1页码:87-99 |
| 关键词 | Nonlinearity Asymmetric Behaviors Ising Model Heterogeneous Agents Bounded Rationality Quote-Driven Market |
| ISSN号 | 0218-348X |
| DOI | 10.1142/S0218348X10004762 |
| 英文摘要 | In this paper, we detected the fractal/multifractal and asymmetric properties in a simple financial market model which is an analog of the Ising model. We introduced the virtual market with heterogeneous agents characterized by agents with bounded rationality, by which we mean that agents only have local information, and a market maker who is responsible for market liquidity. To investigate the heterogeneity and psychological factors in real financial market, we designed the parameters of individual expectations of agents to this model. Applying fractal/multifractal and Zipf techniques, we conducted many simulations under different scenarios and then analyzed the generated time series of this virtual market. We acquired some nontrivial findings: first, the virtual price returns generated by our model display fractal and multifractal features; secondly, we found that the price have the asymmetric behaviors; finally, our findings have qualitative similarities with many empirical results, which imply that although our toy model is seemingly simple, it can generate complex dynamics and thus can be a useful tool to investigate complex market behaviors and phenomena. |
| 资助项目 | China Postdoctoral Science Foundation[20090450602] ; XU GUOZHI Postdoctoral Foundation ; Joint Open Young Scholar Science Foundation of CAU NJAU[CN2007010] ; Chinese Universities Scientific Fund[20091-23] |
| WOS研究方向 | Mathematics ; Science & Technology - Other Topics |
| 语种 | 英语 |
| WOS记录号 | WOS:000276154600007 |
| 出版者 | WORLD SCIENTIFIC PUBL CO PTE LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/9306]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | He, Ling-Yun |
| 作者单位 | 1.China Agr Univ, Coll Econ & Management, Beijing 100083, Peoples R China 2.Chinese Acad Sci, Complex Syst Res Ctr, Acad Math & Syst Sci, Beijing 100080, Peoples R China 3.N China Univ Technol, Coll Management, Beijing 100041, Peoples R China |
| 推荐引用方式 GB/T 7714 | He, Ling-Yun,Zheng, Feng. DETECTING FRACTAL/MULTIFRACTAL AND ASYMMETRIC PROPERTIES IN AN ARTIFICIAL QUOTE-DRIVEN FINANCIAL MARKET[J]. FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY,2010,18(1):87-99. |
| APA | He, Ling-Yun,&Zheng, Feng.(2010).DETECTING FRACTAL/MULTIFRACTAL AND ASYMMETRIC PROPERTIES IN AN ARTIFICIAL QUOTE-DRIVEN FINANCIAL MARKET.FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY,18(1),87-99. |
| MLA | He, Ling-Yun,et al."DETECTING FRACTAL/MULTIFRACTAL AND ASYMMETRIC PROPERTIES IN AN ARTIFICIAL QUOTE-DRIVEN FINANCIAL MARKET".FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY 18.1(2010):87-99. |
入库方式： OAI收割
来源：数学与系统科学研究院
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