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Self-organized Speculation Game for the spontaneous emergence of financial stylized facts
Physica A: Statistical Mechanics and its Applications ( IF 3.3 ) Pub Date : 2021-07-03 , DOI: 10.1016/j.physa.2021.126227
Kei Katahira 1, 2 , Yu Chen 3 , Eizo Akiyama 1
Affiliation  

We sophisticate the Speculation Game to relax the need for rigorous tuning of a part of parameters for the emergence of characteristic statistics of price returns. Named as Self-organized Speculation Game (SOSG), thanks to the concept of the Bak–Tang–Wiesenfeld (BTW) sandpile model, the model can spontaneously adjust the number of market participants during the process of reaching the quasi-critical state. While the original Speculation Game’s high reproducibility of financial stylized facts is maintained, the behavioral characteristics of this modified model, such as the dynamics of system size and the observations of power-law phenomena, strongly resemble those of the BTW model. The market size is evolutionally settled with fluctuations within a certain range, similar to the total sand grains behave in the sandpile model. SOSG infers the possibility that, in the real financial markets, it could be the self-organized quasi-criticality which works behind the spontaneous emergence of universal financial stylized facts.



中文翻译:

金融程式化事实自发出现的自组织投机博弈

我们完善了投机游戏,以放松对价格回报特征统计出现的部分参​​数进行严格调整的需要。命名为自组织投机博弈(SOSG),得益于 Bak-Tang-Wiesenfeld(BTW)沙堆模型的概念,该模型可以在达到准临界状态的过程中自发调整市场参与者的数量。虽然原始投机游戏对金融程式化事实的高度再现性得以保持,但这种修改后模型的行为特征,例如系统规模的动态和幂律现象的观察,与 BTW 模型的行为特征非常相似。市场规模在一定范围内随着波动逐渐稳定,类似于沙堆模型中的总砂粒行为。

更新日期:2021-07-15
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