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HETEROGENEITY, NONLINEARITY AND ENDOGENOUS MARKET VOLATILITY

Journal of Systems Science & Complexity 2011年第6期24卷 1130-1142页

作者： Hongquan LI Shouyang WANG Wei SHANG School of Business Hunan Normal University Changsha 410081 China Academy of Mathematics and Systems Sciences Chinese Academy of Sciences Beijing 100190 China

This paper aims to contribute to the literature on the explanatory power of behavior models with heterogeneous agents. The authors present a new nonlinear structural stock market model which is a nonlinear deterministic process buffeted by dynamic noise. An exogenous noise is introduced to the model with the assumption of IID normal innovations of the fundamental value in order to investigate how noisy dynamics interacts with deterministic process. The market is composed of two typical trader types： the rational fundamentalists and the boundedly rational traders governed by greed and fear. The interaction between noise and deterministic element determines the evolution process of the system as key parameters are changed. The authors find the model is able to generate time series that exhibit dynamical and statistical properties closely resembling those of the S＆：P500 index, such as volatility clustering, fat tails （leptokurtosis）, autocorrelation in square and absolute return, larger amplitude, crashes and bubbles. The authors also investigate the nonlinear dependence structure in our data. The results indicate that the GARCH-type model cannot completely account for all nonlinearity in our simulated market, which is thus consistent with the results from real markets. It seems that the nonlinear structural model is more powerful to give a satisfied explanation to market behavior than the traditional stochastic approach.

关键词： Computational finance endogenous volatility heterogeneous agents noisy chaos nonlinearity stylized facts.

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