Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F20%3A00522039" target="_blank" >RIV/67985556:_____/20:00522039 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/00216208:11230/20:10407387

Výsledek na webu

<a href="https://www.sciencedirect.com/science/article/pii/S0165188920300257" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0165188920300257</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.jedc.2020.103855" target="_blank" >10.1016/j.jedc.2020.103855</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality

Popis výsledku v původním jazyce

Agent-based models are usually claimed to generate complex dynamics, however, the link to such complexity has not been subject to rigorous examination. This paper studies this link between the complexity of financial time series - measured by their multifractal properties - and the design of various small-scale agent-based frameworks used to model the heterogeneity of financial markets. Nine popular models are analyzed, and while some of the models do not generate interesting multifractal patterns, we observe the strongest tendency towards multifractal behavior for the Bornholdt Ising model, the discrete choice-based models by Gaunersdorfer & Hommes and Schmitt & Westerhoff, and the transition probabilities-based framework by Franke & Westerhoff. Complexity is thus not an automatic feature of the time series generated by any agent-based model but generated only by models with specific properties. In addition, because multifractality is considered a financial stylized fact, its presence can be used as a new means to validate such models.

Název v anglickém jazyce

Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality

Popis výsledku anglicky

Agent-based models are usually claimed to generate complex dynamics, however, the link to such complexity has not been subject to rigorous examination. This paper studies this link between the complexity of financial time series - measured by their multifractal properties - and the design of various small-scale agent-based frameworks used to model the heterogeneity of financial markets. Nine popular models are analyzed, and while some of the models do not generate interesting multifractal patterns, we observe the strongest tendency towards multifractal behavior for the Bornholdt Ising model, the discrete choice-based models by Gaunersdorfer & Hommes and Schmitt & Westerhoff, and the transition probabilities-based framework by Franke & Westerhoff. Complexity is thus not an automatic feature of the time series generated by any agent-based model but generated only by models with specific properties. In addition, because multifractality is considered a financial stylized fact, its presence can be used as a new means to validate such models.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GJ17-12386Y" target="_blank" >GJ17-12386Y: Multifraktální analýza ve financích: Extrémní události, řízení rizika a portfolia, a komplexita trhů</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Economic Dynamics & Control

ISSN

0165-1889

e-ISSN

—

Svazek periodika

113

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

23

Strana od-do

103855

Kód UT WoS článku

000527281300003

EID výsledku v databázi Scopus

2-s2.0-85079838299