英文标题：
《Universality of Tsallis q-exponential of interoccurrence times within
the microscopic model of cunning agents》
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作者：
Mateusz Denys, Tomasz Gubiec, Ryszard Kutner
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最新提交年份：
2014
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英文摘要：
We proposed the agent-based model of financial markets where agents (or traders) are represented by three-state spins located on the plane lattice or social network. The spin variable represents only the individual opinion (advice) that each trader gives to his nearest neighbors. In the model the agents can be considered as cunning. For instance, although agent having currently a maximal value of the spin advises his nearest neighbors to buy some stocks he, perfidiously, will sell some stocks in the next Monte Carlo step or will occupy a neutral position. In general, the trader has three possibilities: he can buy some stocks if his opinion change within a single time step is positive, sell some stocks if this change is negative, or remain inactive if his opinion is unchanged. The predictions of our model, found by simulations, well agree with the empirical universal distribution of interoccurrence times between daily losses below negative thresholds following the Tsallis q-exponential.
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中文摘要：
我们提出了基于代理的金融市场模型，其中代理（或交易者）由位于平面晶格或社交网络上的三个状态自旋表示。自旋变量仅代表每个交易者给其最近邻居的个人意见（建议）。在这个模型中，代理可以被认为是狡猾的。例如，尽管目前拥有最大旋转值的代理建议其最近的邻居购买一些股票，但他背信弃义地将在下一个蒙特卡罗步骤中出售一些股票，或将占据中立位置。一般来说，交易者有三种可能性：如果他的观点在一个时间步长内变化为正，他可以买入一些股票；如果变化为负，他可以卖出一些股票；如果他的观点不变，他可以保持不活跃。通过模拟发现，我们的模型的预测与Tsallis q指数之后低于负阈值的每日损失之间的相互发生时间的经验普遍分布非常一致。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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