具有三重状态的理想代理系统:对代理-场相互作用的模型参数识别
Christoph J Börner1, Ingo Hoffmann1, John H Stiebel1
1Financial Services, Faculty of Business Administration and Economics, Heinrich Heine University Düsseldorf, 40225 Düsseldorf, Germany.
Entropy (Basel, Switzerland)
|December 23, 2023
概括
本研究引入了资本市场的新模式,包括"持有"投资者立场. 该模型准确地预测了突然的风险事件,在一步前的评估中表现优于基准方法.
科学领域:
- 计量经济学 计量经济学 计量经济学
- 统计物理 统计物理
- 计算金融是指计算金融.
背景情况:
- 公司特定的新闻会导致独立于市场趋势的股票价格波动,表明突然的风险事件.
- 统计物理学概念越来越多地应用于计量经济学,用于建模社会经济现象.
研究的目的:
- 扩展现有的基于代理商的模式,在"买入"和"卖出"立场之外,包括一个"持有"立场.
- 开发一个理论框架,用统计集团在资本市场中建模代理行为.
- 为了能够准确地预测资本市场突然发生的风险事件.
主要方法:
- 开发了一个理论模型,使用微规范和规范合集来构建一个理想的代理系统.
- 设计了一种程序,用资本市场时间序列数据来估计模型参数.
- 将模型应用于资本市场的例子,以评估风险事件.
主要成果:
- 拟议的模式有效地纳入了"买入"",卖出"和"持有"的投资者立场.
- 成功设计了一种从经验数据中估计模型参数的方法.
- 该模型在预测突发风险事件的前一步预测方面表现强.
结论:
- 开发的模型非常适合分析资本市场动态.
- 模型参数被准确地确定,导致可靠的预测.
- 该方法为评估突发风险事件的影响提供了一个强大的框架.
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