金融市场少数者博弈模拟的时间序列分析
Time series analysis for minority game simulations of financial markets
摘要：
最近引入的少数人博弈（MG）模型为理解金融市场中价格、指数和利率的演变提供了有前途的见解。在本文中，我们进行了时间序列分析的模型，采用统计学，动力系统理论和随机过程的工具。通过基准系统和财务指标的比较，得出了关于这种演化产生机制的几个结论。运动是确定性的，由偶然的随机外部扰动驱动。当两个连续扰动之间的间隔足够大时，可以在该区域中发现低维混沌。然而，MG模型的全运动被发现是类似的SP500指数的第一个差异：随机，非线性和（单位根）平稳。
英文摘要：
The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolut ion. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary.
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