基于代表性异质交易者的市场分数模型及其对尾部幂律效应的检验

A Market Fraction Model Based on Representative Heterogeneous Traders and Its Test of Tail Power Law Effect

文章从交易者为有限理性且交易策略具有异质性的微观视角出发,考虑了当市场中存在着基础交易者和趋势交易者两类不同类型交易者的场景,构建了在做市商制度下二者共存且相互作用下的异质交易者市场分数模型。通过对模型进行合理的参数设置并采用蒙特卡洛模拟生成仿真数据,可以很好地再现真实样本数据的分布特征,尤其是对收益序列尾部分布的幂律特征进行了重点分析。通过对异质分数模型参数的进一步讨论有效地揭示了金融市场所表现出的诸多异象的产生机理,为资产价格运动的动力学特征提供了微观解释视角。

From the micro perspective of traders with limited rationality and heterogeneous trading strategies,and considering that there are two different types of traders in the market:basic traders and trend traders,this paper constructs a market fraction model of heterogeneous traders with both coexisting and interacting under the system of market-maker.By setting the reasonable parameters of the model and generating the simulation data by Monte Carlo simulation,the distribution characteristics of the real sample data can be well reproduced,and in particular,the power law characteristics of tail distribution of income series are emphatically analyzed.Through further discussion on the parameters of the heterogeneous fraction model,the mechanism of many anomalies in the financial market is effectively revealed,which provides a microscopic explanation perspective for the dynamic characteristics of asset price movement.