英文标题：
《Development of an agent-based speculation game for higher
reproducibility of financial stylized facts》
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作者：
Kei Katahira, Yu Chen, Gaku Hashimoto, Hiroshi Okuda
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最新提交年份：
2019
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英文摘要：
Simultaneous reproduction of all financial stylized facts is so difficult that most existing stochastic process-based and agent-based models are unable to achieve the goal. In this study, by extending the decision-making structure of Minority Game, we propose a novel agent-based model called \"Speculation Game,\" for a better reproducibility of the stylized facts. The new model has three distinct characteristics comparing with preceding agent-based adaptive models for the financial market: the enabling of nonuniform holding and idling periods, the inclusion of magnitude information of price change in history, and the implementation of a cognitive world for the evaluation of investment strategies with capital gains and losses. With these features, Speculation Game succeeds in reproducing 10 out of the currently well studied 11 stylized facts under a single parameter setting.
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中文摘要：
同时复制所有金融风格化事实非常困难，以至于大多数现有的基于随机过程和基于代理的模型都无法实现这一目标。在这项研究中，通过扩展少数群体博弈的决策结构，我们提出了一种新的基于代理的模型，称为“投机博弈”，以更好地再现程式化事实。与之前基于代理的金融市场适应性模型相比，新模型有三个明显的特点：允许非均匀持有和闲置期，包含历史上价格变化的幅度信息，以及实施一个认知世界来评估有资本损益的投资策略。有了这些特性，投机游戏在一个参数设置下成功地再现了目前研究得很好的11个程式化事实中的10个。
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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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