英文标题：
《Agent-based model with multi-level herding for complex financial systems》
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作者：
Jun-Jie Chen, Lei Tan, Bo Zheng
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最新提交年份：
2015
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英文摘要：
In complex financial systems, the sector structure and volatility clustering are respectively important features of the spatial and temporal correlations. However, the microscopic generation mechanism of the sector structure is not yet understood. Especially, how to produce these two features in one model remains challenging. We introduce a novel interaction mechanism, i.e., the multi-level herding, in constructing an agent-based model to investigate the sector structure combined with volatility clustering. According to the previous market performance, agents trade in groups, and their herding behavior comprises the herding at stock, sector and market levels. Further, we propose methods to determine the key model parameters from historical market data, rather than from statistical fitting of the results. From the simulation, we obtain the sector structure and volatility clustering, as well as the eigenvalue distribution of the cross-correlation matrix, for the New York and Hong Kong stock exchanges. These properties are in agreement with the empirical ones. Our results quantitatively reveal that the multi-level herding is the microscopic generation mechanism of the sector structure, and provide new insight into the spatio-temporal interactions in financial systems at the microscopic level.
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中文摘要：
在复杂的金融系统中，部门结构和波动性集群分别是空间和时间相关性的重要特征。然而，行业结构的微观生成机制尚不清楚。特别是，如何在一个模型中产生这两个特性仍然是一个挑战。我们引入了一种新的交互机制，即多级羊群效应，构建了一个基于agent的模型，结合波动率聚类来研究行业结构。根据以往的市场表现，代理人进行分组交易，其羊群行为包括股票、行业和市场层面的羊群行为。此外，我们还提出了根据历史市场数据而非结果的统计拟合来确定关键模型参数的方法。通过模拟，我们获得了纽约和香港证券交易所的行业结构和波动率聚类，以及互相关矩阵的特征值分布。这些性质与经验的一致。我们的结果定量地揭示了多层次的羊群效应是部门结构的微观生成机制，并在微观层面上为金融系统的时空互动提供了新的视角。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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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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