英文标题：
《A new structural stochastic volatility model of asset pricing and its
stylized facts》
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作者：
Radu T. Pruna, Maria Polukarov and Nicholas R. Jennings
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最新提交年份：
2016
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英文摘要：
Building on a prominent agent-based model, we present a new structural stochastic volatility asset pricing model of fundamentalists vs. chartists where the prices are determined based on excess demand. Specifically, this allows for modelling stochastic interactions between agents, based on a herding process corrected by a price misalignment, and incorporating strong noise components in the agents\' demand. The model\'s parameters are estimated using the method of simulated moments, where the moments reflect the basic properties of the daily returns of a stock market index. In addition, for the first time we apply a (parametric) bootstrap method in a setting where the switching between strategies is modelled using a discrete choice approach. As we demonstrate, the resulting dynamics replicate a rich set of the stylized facts of the daily financial data including: heavy tails, volatility clustering, long memory in absolute returns, as well as the absence of autocorrelation in raw returns, volatility-volume correlations, aggregate Gaussianity, concave price impact and extreme price events.
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中文摘要：
在一个著名的基于代理的模型的基础上，我们提出了一个新的结构随机波动性资产定价模型，该模型由原教旨主义者和图表主义者组成，其中价格是根据超额需求确定的。具体而言，这允许基于价格失调修正的羊群过程，对代理人之间的随机互动进行建模，并在代理人的需求中加入强噪声成分。模型参数采用模拟矩法估计，其中矩反映了股票市场指数日收益率的基本特性。此外，我们首次在使用离散选择方法模拟策略之间切换的环境中应用（参数）引导法。正如我们所展示的，由此产生的动态复制了日常金融数据的一组丰富的程式化事实，包括：重尾、波动性聚类、绝对收益的长记忆，以及原始收益中缺乏自相关、波动性-量相关性、总高斯性、凹形价格影响和极端价格事件。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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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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