典型文献
Heterogeneous Round-Trip Trading and the Emergence of Volatility Clustering in Speculation Game
文献摘要：
This study is a detailed analysis of Speculation Game,a simple agent-based model of finan-cial markets,in which the round-trip trading and the dynamic wealth evolution with variable trading volumes are implemented.Instead of herding behavior,the authors find that the heterogeneous holding periods in round-trip trades can contribute to the emergence of volatility clustering.In particular,the spontaneous redistribution of market wealth through repetitions of round-trip trades with non-uniform horizons can widen the wealth disparity and establish the Pareto distribution of the capital size.As a result,the intermittent placements of relatively big orders from endogenously emerged rich traders can bring on large fluctuations in price return.Empirical data are used to support the scenario derived from the model.
文献关键词：
中图分类号：
作者姓名：
KATAHIRA Kei;CHEN Yu
作者机构：
Faculty of Engineering,Information and Systems,University of Tsukuba,Tennodai 1-1-1,Tsukuba,Ibaraki 305-8573,Japan;Research Fellow of Japan Society for the Promotion of Science,Japan;Graduate School of Frontier Sciences,The University of Tokyo,5-1-5 Kashiwanoha,Kashiwa-shi,Chiba-ken 277-8563,Japan
文献出处：
引用格式：
[1]KATAHIRA Kei;CHEN Yu-.Heterogeneous Round-Trip Trading and the Emergence of Volatility Clustering in Speculation Game)[J].系统科学与复杂性学报（英文版）,2022(01):221-244
A类：
Speculation,finan,herding
B类：
Heterogeneous,Round,Trip,Trading,Emergence,Volatility,Clustering,Game,This,study,detailed,analysis,simple,agent,model,cial,markets,which,round,trip,trading,dynamic,wealth,evolution,variable,volumes,implemented,Instead,behavior,authors,find,that,heterogeneous,holding,periods,trades,can,contribute,emergence,volatility,clustering,particular,spontaneous,redistribution,through,repetitions,uniform,horizons,widen,disparity,establish,Pareto,capital,size,result,intermittent,placements,relatively,big,orders,from,endogenously,emerged,rich,traders,bring,large,fluctuations,price,return,Empirical,data,used,support,scenario,derived
AB值：
0.657848
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