基于Mike Farmer委托驱动模型的研究

Mike-Farmer微观模型是功能强大的委托驱动模型,能再现很多经典的统计规律.本文介绍了Mike-Farmer委托驱动模型的构建过程,Mike-Farmer委托驱动模型生成的收益率,发现收益率在不同时间尺度下遵循幂律分布,服从负三次方定律.以Mike-Farmer委托驱动模型为平台,进行收益率幂律分布和波动率聚簇效应的成因研究,发现收益率的幂律分布和市价订单委托价格的概率分布相关,而波动率的聚簇效应与订单委托价格时间序列的时间记忆性保持一致性.最后简要介绍了模型的应用前景.

Mike Farmer order driven model

Mike-Farmer microscopic model is a powerful order-driven model.It can reproduce many stylized facts.In the paper,the Mike-Farmer model was introduced in detail.It was found that the distributions of returns obtained from the model at different timescales can be modeled as the power-law distribution in the tails,whose exponents are close to the well-known cubic law.The reasons for the power-law distribution of returns and the clustering effect of volatilities were then studied and it was concluded that power...