Heterogeneous Round-Trip Trading and the Emergence of Volatility Clustering in Speculation Game  

在线阅读下载全文

作  者:KATAHIRA Kei CHEN Yu 

机构地区:[1]Faculty of Engineering,Information and Systems,University of Tsukuba,Tennodai 1-1-1,Tsukuba,Ibaraki 305-8573,Japan [2]Research Fellow of Japan Society for the Promotion of Science,Japan. [3]Graduate School of Frontier Sciences,The University of Tokyo,5-1-5 Kashiwanoha,Kashiwa-shi,Chiba-ken 277-8563,Japan.

出  处:《Journal of Systems Science & Complexity》2022年第1期221-244,共24页系统科学与复杂性学报(英文版)

基  金:supported by JSPS KAKENHI under Grant Nos.JP17J09156 and JP20J00107。

摘  要:This study is a detailed analysis of Speculation Game,a simple agent-based model of financial markets,in which the round-trip trading and the dynamic wealth evolution with variable trading volumes are implemented.Instead of herding behavior,the authors find that the heterogeneous holding periods in round-trip trades can contribute to the emergence of volatility clustering.In particular,the spontaneous redistribution of market wealth through repetitions of round-trip trades with non-uniform horizons can widen the wealth disparity and establish the Pareto distribution of the capital size.As a result,the intermittent placements of relatively big orders from endogenously emerged rich traders can bring on large fluctuations in price return.Empirical data are used to support the scenario derived from the model.

关 键 词:Financial stylized facts HETEROGENEITY Pareto’s law round-trip trading wealth distribution 

分 类 号:F831.51[经济管理—金融学]

 

参考文献:

正在载入数据...

 

二级参考文献:

正在载入数据...

 

耦合文献:

正在载入数据...

 

引证文献:

正在载入数据...

 

二级引证文献:

正在载入数据...

 

同被引文献:

正在载入数据...

 

相关期刊文献:

正在载入数据...

相关的主题
相关的作者对象
相关的机构对象