证券市场高频数据双相行为的仿真

Plerou, et al 以证券市场高频数据为研究对象,通过实证分析发现了证券市场的``双相行为'(Two-phase behavior of financial markets). 这个现象是个复杂性涌现, Plerou猜想引起这个现象的原因是私人信息. 该文在少数派博弈模型的基础上,建立了一个市场人工模型, 仿真得到了同样的特征,并发现智能代理多样化的归纳推理模式是产生``双相行为'的关键因素,市场微结构也有一定的影响, 而私人信息不是关键因素.

Numerical study on the two-phase behavior of financial markets

An empirical study on high-frequency data of financial markets which was published on Nature found a new stylized fact so called two-phase behavior. This phenomenon is a complex emergency, the author Plerou suggested this phenomenon may be caused by the diffusing of private information. In this paper, we developed a new artificial stock market based on the extended minority game. We simulated on this new model and reproduced the two-phase behavior. We also found that the key factor causing two-phase behavior is inductive reasoning which is main character of investor's behavior. Microstructure is another reason impacts two-phase behavior by combined working with inductive reasoning while the privative information is not the essential reason to produce two-phase behavior.