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.Inst...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.展开更多
In our simplified description‘wealth’is money(m).A kinetic theory of a gas like model of money is investigated where two agents interact(trade)selectively and exchange some amount of money between them so that sum o...In our simplified description‘wealth’is money(m).A kinetic theory of a gas like model of money is investigated where two agents interact(trade)selectively and exchange some amount of money between them so that sum of their money is unchanged and thus total money of all the agents remains conserved.The probability distributions of individual money(P(m)vs.m)is seen to be influenced by certain ways of selective interactions.The distributions shift away from Boltzmann-Gibbs like the exponential distribution,and in some cases distributions emerge with power law tails known as Pareto’s law(P(m)/m−(1+®)).The power law is also observed in some other closely related conserved and discrete models.A discussion is provided with numerical support to obtain insight into the emergence of power laws in such models.展开更多
基金supported by JSPS KAKENHI under Grant Nos.JP17J09156 and JP20J00107。
文摘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.
文摘In our simplified description‘wealth’is money(m).A kinetic theory of a gas like model of money is investigated where two agents interact(trade)selectively and exchange some amount of money between them so that sum of their money is unchanged and thus total money of all the agents remains conserved.The probability distributions of individual money(P(m)vs.m)is seen to be influenced by certain ways of selective interactions.The distributions shift away from Boltzmann-Gibbs like the exponential distribution,and in some cases distributions emerge with power law tails known as Pareto’s law(P(m)/m−(1+®)).The power law is also observed in some other closely related conserved and discrete models.A discussion is provided with numerical support to obtain insight into the emergence of power laws in such models.
