Heterogeneity, nonlinearity and endogenous market volatility
文献类型：期刊论文
| 作者 | Li, Hongquan1; Wang, Shouyang2 ; Shang, Wei2
|
| 刊名 | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
 |
| 出版日期 | 2011-12-01 |
| 卷号 | 24期号:6页码:1130-1142 |
| 关键词 | Computational finance endogenous volatility heterogeneous agents noisy chaos nonlinearity stylized facts |
| ISSN号 | 1009-6124 |
| DOI | 10.1007/s11424-011-9054-8 |
| 英文摘要 | This paper aims to contribute to the literature on the explanatory power of behavior models with heterogeneous agents. The authors present a new nonlinear structural stock market model which is a nonlinear deterministic process buffeted by dynamic noise. An exogenous noise is introduced to the model with the assumption of IID normal innovations of the fundamental value in order to investigate how noisy dynamics interacts with deterministic process. The market is composed of two typical trader types: the rational fundamentalists and the boundedly rational traders governed by greed and fear. The interaction between noise and deterministic element determines the evolution process of the system as key parameters are changed. The authors find the model is able to generate time series that exhibit dynamical and statistical properties closely resembling those of the S&P500 index, such as volatility clustering, fat tails (leptokurtosis), autocorrelation in square and absolute return, larger amplitude, crashes and bubbles. The authors also investigate the nonlinear dependence structure in our data. The results indicate that the GARCH-type model cannot completely account for all nonlinearity in our simulated market, which is thus consistent with the results from real markets. It seems that the nonlinear structural model is more powerful to give a satisfied explanation to market behavior than the traditional stochastic approach. |
| 资助项目 | MEXT (Kyoto University) ; National Natural Science Foundation of China[71001036] ; National Natural Science Foundation of China[71171186] ; Chinese Academy of Sciences[KACX1-YW-0906] ; Hunan Provincial Education Department[10A082] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000297798800008 |
| 出版者 | SPRINGER HEIDELBERG |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/11475]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Li, Hongquan |
| 作者单位 | 1.Hunan Normal Univ, Sch Business, Changsha 410081, Hunan, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Li, Hongquan,Wang, Shouyang,Shang, Wei. Heterogeneity, nonlinearity and endogenous market volatility[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2011,24(6):1130-1142. |
| APA | Li, Hongquan,Wang, Shouyang,&Shang, Wei.(2011).Heterogeneity, nonlinearity and endogenous market volatility.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,24(6),1130-1142. |
| MLA | Li, Hongquan,et al."Heterogeneity, nonlinearity and endogenous market volatility".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 24.6(2011):1130-1142. |
入库方式： OAI收割
来源：数学与系统科学研究院
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