论文标题
具有现实财务时间序列的基于代理的模型：基于代理模型验证的方法
An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation
论文作者
论文摘要
本文提出了一种方法来验证基于代理的模型（ABM），该模型（ABM）生成人工财务时间序列数据与现实世界中的财务数据相当。该方法基于将ABM的结果与风格化事实进行比较 - 财务数据经验时间序列的统计属性。风格化的事实似乎是普遍的，并且在不同的市场，金融工具和时间段内都可以观察到，因此它们可以用来验证金融市场的模式。如果给定的模型并未始终如一地复制这些程式化的事实，那么我们可以拒绝它的经验不足。我们讨论了每个风格化的事实，即它的经验证据，并引入了适当的指标，以在模型生成的数据中测试它们的存在。此外，我们研究了模型正确复制这些风格化事实的能力。我们验证了我们的模型，以综合的经验现象列表，这些现象有资格为模式化事实，这些事实是低频和高频财务数据，这些数据可以通过相对简单的金融市场ABM来解决。该程序能够证明该模型作为现实的抽象是否具有有意义的经验对应物，并且该模型出于ABM验证及其经验可靠性的目的。
This paper proposes a methodology to empirically validate an agent-based model (ABM) that generates artificial financial time series data comparable with real-world financial data. The approach is based on comparing the results of the ABM against the stylised facts -- the statistical properties of the empirical time-series of financial data. The stylised facts appear to be universal and are observed across different markets, financial instruments and time periods, hence they can serve to validate models of financial markets. If a given model does not consistently replicate these stylised facts, then we can reject it as being empirically inadequate. We discuss each stylised fact, the empirical evidence for it, and introduce appropriate metrics for testing the presence of these in model generated data. Moreover we investigate the ability of our model to correctly reproduce these stylised facts. We validate our model against a comprehensive list of empirical phenomena that qualify as a stylised fact, of both low and high frequency financial data that can be addressed by means of a relatively simple ABM of financial markets. This procedure is able to show whether the model, as an abstraction of reality, has a meaningful empirical counterpart and the significance of this analysis for the purposes of ABM validation and their empirical reliability.
