EconPapers    
Economics at your fingertips  
 

Development of an agent-based speculation game for higher reproducibility of financial stylized facts

Kei Katahira, Yu Chen, Gaku Hashimoto and Hiroshi Okuda

Papers from arXiv.org

Abstract: 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.

New Economics Papers: this item is included in nep-cmp and nep-hme
Date: 2019-02
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1902.02040 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1902.02040

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2019-02-26
Handle: RePEc:arx:papers:1902.02040