巴西房地产投资基金的人工市场：基于代理的提议
An Artificial Market for Brazilian Real Estate Investment Funds: An Agent-Based Proposal
浏览论文内容
中文总结 AI 辅助
研究利用基于代理的建模方法开发巴西房地产投资信托人工市场，整合其价值链，纳入宏观经济变量体现代理异质性，经校准和验证，该模型能再现真实市场典型事实，为分析监管政策和定价机制提供新途径。
中文摘要 AI 辅助
本文介绍了使用基于代理的建模方法开发和验证巴西房地产投资信托（REITs）人工市场。核心贡献是在单一多代理系统中整合了FII价值链，涵盖从受空置和运营成本影响的房地产收入产生，到股息分配，再到由具有订单簿的双重拍卖机制介导的异质投资者股票交易。模型纳入了内生宏观经济变量，通过行为分解体现代理异质性。利用模拟矩方法对2021年至2025年的巴西REIT市场指数IFIX历史序列进行校准。通过两种不同方法验证，结果表明模型再现了真实市场的主要典型事实，如校准矩覆盖率超75%等，为分析监管政策和定价机制提供了计算实验室。
英文摘要
This article presents the development and validation of an artificial market for Brazilian Real Estate Investment Trusts (REITs), known as Fundos de Investimento Imobiliario (FIIs), using agent-based modeling methodology. The central contribution of this work is the integration, within a single multi-agent system, of the FII value chain, from the generation of real estate revenues subject to vacancy and operational costs, through dividend distribution, to the trading of shares by heterogeneous investors mediated by a double auction mechanism with an order book. The model incorporates endogenous macroeconomic variables, such as the Selic, the Brazilian benchmark interest rate, and inflation, and represents agent heterogeneity through a behavioral decomposition into fundamentalist, speculator, and noise trader components, modulated by individual financial literacy levels. The model was calibrated using the Method of Simulated Moments applied to the historical series of the IFIX index, the Brazilian REIT market index, between 2021 and 2025. The validation results, obtained using two distinct methods, demonstrate that the model reproduces the main stylized facts observed in the real market: (i) the coverage rate of calibrated moments exceeds 75 percent; (ii) 96 percent of simulated trajectories are structurally indistinguishable from real IFIX periods according to the nearest-neighbor criterion; and (iii) stylized facts such as the power law of autocorrelations of absolute returns and aggregational Gaussianity emerge spontaneously, without being incorporated into the calibration objective function. The results of the validation process indicate that the artificial market captures structural dynamics of the FII market, opening perspectives for its use as a computational laboratory for the analysis of regulatory policies and pricing mechanisms.
