EconofÃsica: dinÃmica de agentes heterogÃneos no estudo da volatilidade

AUTOR(ES)
DATA DE PUBLICAÇÃO

2008

RESUMO

We perform a computer simulation study for the volatility within the context of multi-agent dynamics in financial markets. We consider the USDF model of price formation on square lattices and introduce the parameter pF for the fraction of fundamentalist agents present in the system. Then we analysis the influence of these agents on the volatility. The results reproduce some of the main stylized facts of financial time series, such as exponential-law tails of the probability distribution function of volatilities and the presence of long range correlations. By varying the concentration of fundamentalists in the interval [0.10 : 0.90], the average volatility shows a linear dependence with this parameter in the region where there is not a percolative cluster of fundamentalist agents, while in the region where the percolative cluster exists one has a power-law dependence on the concentration. We also consider the R/S and DFA statistics to obtain the Hust exponents of volatility series for different values of pF and conclude that they are persistent in all cases (H >0.5). Moreover, the corresponding spectra of H show multifractality in the regions with pF <0.5 and pF >0.60, whereas one has a typical fractal behavior in the regime 0.50

ASSUNTO(S)

trading agents volatility econophysics agentes de mercado econofÃsica volatilidade fisica

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