Artificial market model based on deterministic agents and derivation of limit of ARCH type process
نویسنده
چکیده
We proposed an artificial market model based on deterministic agents which select their action depending on past price changes. Temporal development of market price fluctuations is calculated numerically. Probability density functions of market price changes have power tails. Autocorrelation coefficient of the changes has an anti-correlation, and autocorrelation coefficient of squared changes (volatility correlation function) has a long time correlation. A probability density function of intervals between successive trades follows a discrete exponential function. ARCH type stochastic process is theoretically derived from temporal development of price changes in limit manner. We conclude that volatility clustering results from selforganized criticality in dealers’ interactions through market price fluctuations. PACS: 05.40, 64.60.L, 71.45.G keywords: artificial market model, ARCH type stochastic process, powerlaw distribution, volatility clustering, self-organized criticality, econophysics
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