时间序列的统计性质和多重分形性质 一个修正的少数人博弈

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摘要翻译：
本文对已有的multiagent模型少数博弈进行了改进，旨在模拟金融市场中交易者的行为及其在抽象资源上的价格动态变化。该模型以软件的形式实现。为了再现真实金融时间序列的基本性质，研究了修正的少数人博弈模型。证明了这种价格少数博弈时间序列所具有的波动性聚类、Levy分布和多重分形等性质。
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英文标题：
《Statistical and Multifractal Properties of the Time Series Generated by
  a Modified Minority Game》
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作者：
Yu.A.Kuperin, M.M.Morozova
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最新提交年份：
2010
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分类信息：

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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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the abstract resource. The model was implemented in the form of software. The modified version of Minority Game was investigated with the aim of reproducing the basic properties of real financial time series. It was proved that such properties as the clustering of volatility, the Levy distribution and multifractality are inherent for generated by this version of the Minority Game time series of prices.
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PDF链接：
https://arxiv.org/pdf/1008.3840

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关键词：时间序列 Quantitative Multifractal Applications Modification 具有 multiagent model 模拟 financial