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arXiv · 1909.02899

An extended Speculation Game for the recovery of Hurst exponent of financial time series

Kei Katahira·Yu Chen
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Abstract

The speculation game is an agent-based toy model to investigate the dynamics of the financial market. Our model has achieved the reproduction of 10 of the well-known stylized facts for financial time series. However, there is also a divergence from the behavior of real market. The market price of the model tends to be anti-persistent to the initial price, resulting in the quite small value of Hurst exponent of price change. To overcome this problem, we extend the speculation game by introducing a perturbative part to the price change with the consideration of other effects besides pure speculative behaviors.

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BibTeXRIS

Kei Katahira, Yu Chen. 2019-09-06. An extended Speculation Game for the recovery of Hurst exponent of financial time series. https://arxiv.org/abs/1909.02899

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