科研之友
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摘要
In order to investigate what induce the stylized facts in financial markets, we built an agent-based financial market model in which agents interacted with their nearest neighbors and can adjust their propensity to be influenced by their neighbors according to trading histories. Agents' actions are determined by their Independent judgments, public news and neighbors' influence. Simulation results show that the model can reproduce the stylized facts of fat tail and volatility clustering.
- 出版日期2007
- 单位武汉大学
