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摘要翻译：
利维-利维-所罗门模型（股票市场的微观模型：周期、繁荣和崩溃，经济快报45（1））是最有影响力的基于代理人的经济市场模型之一。在一些出版物中，这个模型已经被讨论和分析过。特别是Lux和Zschischang（Levy,Levy和Solomon微观股票市场模型的一些新结果，Physica A,291（1-4））表明，该模型表现出有限规模效应。在本研究中，我们在几个方向上扩展了现有的工作。首先，我们展示了模拟，揭示了模型的有限尺寸效应。其次，我们阐明了这些有限尺寸效应的起源。进一步，我们证明了Levy-Levy-Solomon模型对随机数的敏感性。特别是低质量的伪随机数发生器对仿真结果有很大的影响。最后，我们研究了Levy-Levy-Solomon模型中停止标准对市场清算机制的影响。
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英文标题：
《Novel Insights in the Levy-Levy-Solomon Agent-Based Economic Market
Model》
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作者：
Maximilian Beikirch, Torsten Trimborn
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最新提交年份：
2020
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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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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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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英文摘要：
The Levy-Levy-Solomon model (A microscopic model of the stock market: cycles, booms, and crashes, Economic Letters 45 (1))is one of the most influential agent-based economic market models. In several publications this model has been discussed and analyzed. Especially Lux and Zschischang (Some new results on the Levy, Levy and Solomon microscopic stock market model, Physica A, 291(1-4)) have shown that the model exhibits finite-size effects. In this study we extend existing work in several directions. First, we show simulations which reveal finite-size effects of the model. Secondly, we shed light on the origin of these finite-size effects. Furthermore, we demonstrate the sensitivity of the Levy-Levy-Solomon model with respect to random numbers. Especially, we can conclude that a low-quality pseudo random number generator has a huge impact on the simulation results. Finally, we study the impact of the stopping criteria in the market clearance mechanism of the Levy-Levy-Solomon model.
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PDF链接：
https://arxiv.org/pdf/2002.10222
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