| MG模型模拟我国金融市场格式化特征的研究 |
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| 引用本文： | 杨敏,邱菀华.MG模型模拟我国金融市场格式化特征的研究[J].系统工程理论与实践,2004,24(7):15-23. |
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| 作者姓名： | 杨敏 邱菀华 |
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| 作者单位： | 北京航空航天大学经济管理学院 |
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| 基金项目： | 北京航空航天大学经济管理学院董事会青年基金(JP0306) |
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| 摘 要： | 利用正态概率作图、R/S分析和自相关函数分析等方法,发现在高频数据下(时间长度为15分钟),以上证指数和深成指数为代表的我国金融市场存在出收益率的"肥尾"、"集聚"和相关性等格式化特征,同时利用基于MG模型的"生产者-投机者"模拟市场模拟这些特征.这项工作的意义在于,由于MG模型可以同时进行数值和解析分析,因而基于MG的模拟市场的研究为定量分析真实市场提供了一条可能的途径.
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| 关 键 词： | MG模型 多主体建模 金融市场模拟 格式化特征 |
| 文章编号： | 1000-6788(2004)07-0015-09 |
| 修稿时间： | 2003年8月4日 |
Study on Simulation of the Stylized Facts in Chinese Financial Market Based on Minority Game |
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| YANG Min,QIU Wan-hua.Study on Simulation of the Stylized Facts in Chinese Financial Market Based on Minority Game[J].Systems Engineering —Theory & Practice,2004,24(7):15-23. |
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| Authors: | YANG Min QIU Wan-hua |
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| Institution: | School of Economy and Management,BeiHang University |
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| Abstract: | Employing normal probability plot, R/S analysis and autocorrelation function analysis, we find, the high frequency returns(time lag is fifteen minutes) of domestic financial market described by Shanghai index and Shenzhen composite index present the stylized facts, such as fat-tailed distribution, clustering and dependence. We also use "Producer-Speculator" simulation market based on minority game to reproduce these stylized facts. The significance of this part of work means the study of simulation market based on minority game can provide a probable approach to analyze real market quantitatively, because minority game can be studied via both numerical and analytical methods. |
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| Keywords: | minority game multi-agent modeling financial market simulation stylized facts |
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