Cellular Market Model: Power law connectivity w/ logic model #1: Pricing Volatility

Pricing volatility w/ volatility clustering. The Cellular Market Model (CMM) is a cellular automaton asset market model based on majority rules. There are 10000 cells on a Small World (power law connectivity) lattice that trade assets at each time step based on what their neighbors are trading. Each cell color (state) represents a different asset. Certain cells don't use majority rules, but instead use a fundamentalist trading logic where (we assume they all agree on the fundamental values) they try to buy undervalued assets and sell overvalued assets. The pricing rule is based on the volume of assets traded at each generation. Assets that are being purchased go up in price, assets that are being sold go down in price. This model is capable of producing most stylized facts known to exist within stock markets and other asset markets. The model produces reasonable pricing distributions and they tend to follow a non-Gaussian distribution with a kurtosis ranging from 1 to over 100. Absolute log returns are correlated in the short term and not in the long term and volatility clustering is present. http://www.bokisoftware.com

Видео Cellular Market Model: Power law connectivity w/ logic model #1: Pricing Volatility автора Формулы и задачи