Chengling Gou (2006)
The Simulation of Financial Markets by an Agent-Based Mix-Game Model
Journal of Artificial Societies and Social Simulation
vol. 9, no. 3
< http://jasss.soc.surrey.ac.uk/9/3/6.html >
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Received: 06-Dec-2005 Accepted: 13-May-2006 Published: 30-Jun-2006
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Figure 1. Three configurations of historical memories |
Table 1: Correlations among R_{1}, R_{2} and Vol_{1} when m_{2}=6, and m_{1} increases from 1 to 6 | |||
R _{1} | R_{ 2} | Vol_{1} | |
R _{1} | 1 | ||
R _{2} | 0.982 | 1 | |
Vol_{1} | 0.985 | 0.996 | 1 |
Table 2: Correlations among R_{1}, R_{2} and Vol_{2} when m_{1}=6, and m_{2}_{ }increases from 1 to 6 | |||
R_{1} | R_{2} | Vol_{2} | |
R_{1} | 1 | ||
R_{2} | -0.246 | 1 | |
Vol_{2} | 0.148 | -0.892 | 1 |
Table 3: Correlations among R_{1,} R_{2 }and Vol_{3 }when m_{1}=m_{2}, and they increase from 1 to 6 | |||
R_{1} | R_{2} | Vol_{3} | |
R_{1} | 1 | ||
R_{2} | 0.977 | 1 | |
Vol_{3} | -0.859 | -0.737 | 1 |
Figure 2. Two-phase phenomenon of local volatilities under simulation condition of m1 < m2, where α = 2^{m1} / N |
Figure 3. Relations between means of local volatilities and time horizon T_{1} (T_{2}) when T_{2}=36 (T_{1}=36), m_{1}=3, m_{2}=6, N=201, N_{1}=72 and s=2 |
Figure 4. Two-phase phenomenon of local volatilities in T_{1}-T_{2 }space under simulation condition of m_{1}=3, m_{2}=6, N=201, N_{1}=72 and s=2 |
Figure 5. Time series and local volatilities of Shanghai Index daily data and the mix-game with parameters of m_{1}=3, m_{2}=6, T_{1}=12, T_{2}=60, N=201, N_{1}=40 and s=2 |
Figure 6. Log-log plot of Shanghai Index daily absolute returns that is non-Gaussian (Yang 2004) |
Figure 7. Log-log plot of the mix-game absolute returns with parameters of m_{1}=3, m_{2}=6, T_{1}=12, T_{2}=60, N=201, N_{1}=40 and s=2 |
Figure 8. Log-log plot of the MG absolute returns with parameters of m=6, T=60 and N=201 and s=2 |
Figure 9. Autocorrelations of logarithmic returns of the mix-game with m_{1}=3, T_{1}=12, m_{2}=6, T_{2}=60, N_{1}=40, N=201 and s=2 |
Table 4: A sample of agent's strategies (m=2) | |
Historical information | prediction |
00 | 1 |
01 | 0 |
10 | 0 |
11 | 1 |
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