An extended Speculation Game for the recovery of Hurst exponent of financial time series

Kei Katahira and Yu Chen

Papers from arXiv.org

Abstract: The speculation game is an agent-based toy model to investigate the dynamics of the financial market. Our model has achieved the reproduction of 10 of the well-known stylized facts for financial time series. However, there is also a divergence from the behavior of real market. The market price of the model tends to be anti-persistent to the initial price, resulting in the quite small value of Hurst exponent of price change. To overcome this problem, we extend the speculation game by introducing a perturbative part to the price change with the consideration of other effects besides pure speculative behaviors.

Date: 2019-09
New Economics Papers: this item is included in nep-hme
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