论文标题
狡猾的代理商
Model of cunning agents
论文作者
论文摘要
基于统计力学的POTTS模型，基于数值代理的旋转模型，对旋转变量（关于金融市场模型）进行了新的解释。在此模型中，旋转变量的价值只是代理商对当前市场状况的看法，他将其传达给最近的邻居。取而代之的是，代理商的动作（即购买，出售或保持不活动）与旋转变量的更改相连。因此，在此模型中，代理可以被视为狡猾。也就是说，如果代理商有机会出售股票，这些代理商鼓励邻居购买股票，如果代理商有逆转的机会，则特工鼓励邻居出售股票。该模型的预测与来自各种现实生活中金融市场的经验数据非常吻合。该模型重现了回报的常规和绝对价值自相关函数的形状，以及超级思想损失之间的时间分布。
A numerical agent-based spin model of financial markets, based on the Potts model from statistical mechanics, with a novel interpretation of the spin variable (as regards financial-market models) is presented. In this model, a value of the spin variable is only the agent's opinion concerning current market situation, which he communicates to his nearest neighbors. Instead, the agent's action (i.e., buying, selling, or staying inactive) is connected with a change of the spin variable. Hence, the agents can be considered as cunning in this model. That is, these agents encourage their neighbors to buy stocks if the agents have an opportunity to sell them, and the agents encourage their neighbors to sell stocks if the agents have a reversed opportunity. Predictions of the model are in good agreement with empirical data from various real-life financial markets. The model reproduces the shape of the usual and absolute-value autocorrelation function of returns as well as the distribution of times between superthreshold losses.
