Heterogeneity, nonlinearity and endogenous market volatility

doi:10.1007/s11424-011-9054-8

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	Heterogeneity, nonlinearity and endogenous market volatility
	Li, Hongquan 1; Wang, Shouyang2 ; Shang, Wei2
	2011-12-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	24 期号:6 页码:1130-1142
摘要	This paper aims to contribute to the literature on the explanatory power of behavior models with heterogeneous agents. The authors present a new nonlinear structural stock market model which is a nonlinear deterministic process buffeted by dynamic noise. An exogenous noise is introduced to the model with the assumption of IID normal innovations of the fundamental value in order to investigate how noisy dynamics interacts with deterministic process. The market is composed of two typical trader types: the rational fundamentalists and the boundedly rational traders governed by greed and fear. The interaction between noise and deterministic element determines the evolution process of the system as key parameters are changed. The authors find the model is able to generate time series that exhibit dynamical and statistical properties closely resembling those of the S&P500 index, such as volatility clustering, fat tails (leptokurtosis), autocorrelation in square and absolute return, larger amplitude, crashes and bubbles. The authors also investigate the nonlinear dependence structure in our data. The results indicate that the GARCH-type model cannot completely account for all nonlinearity in our simulated market, which is thus consistent with the results from real markets. It seems that the nonlinear structural model is more powerful to give a satisfied explanation to market behavior than the traditional stochastic approach.
关键词	Computational finance endogenous volatility heterogeneous agents noisy chaos nonlinearity stylized facts
DOI	10.1007/s11424-011-9054-8
语种	英语
资助项目	MEXT (Kyoto University) ; National Natural Science Foundation of China[71001036] ; National Natural Science Foundation of China[71171186] ; Chinese Academy of Sciences[KACX1-YW-0906] ; Hunan Provincial Education Department[10A082]
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000297798800008
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/11476
专题	系统科学研究所
通讯作者	Li, Hongquan
作者单位	1.Hunan Normal Univ, Sch Business, Changsha 410081, Hunan, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Li, Hongquan,Wang, Shouyang,Shang, Wei. Heterogeneity, nonlinearity and endogenous market volatility[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2011,24(6):1130-1142.
APA	Li, Hongquan,Wang, Shouyang,&Shang, Wei.(2011).Heterogeneity, nonlinearity and endogenous market volatility.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,24(6),1130-1142.
MLA	Li, Hongquan,et al."Heterogeneity, nonlinearity and endogenous market volatility".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 24.6(2011):1130-1142.