A Type Of Simulation Model Analysis And Empirical Study In The Financial Market

In this paper, it contributes to this recent development by analyzing AMFmodel with two types of traders, which indicates the underlying mechanismin financial market. Our analysis shows that the heterogeneity, trend chasingthrough learning, and the interplay of noisy processes and a stable deterministicequilibrium can be the source of power-law distributed ?uctuations. Statisticalanalysis based on Monte Carlo simulations are conducted to characterize the longmemory and volatility cluster. Making the estimates of the ARFIMA and the(FI)GARCH parameters,also we do an empirical study in ShangHai market. Thesimulation model contrast to empirical research with Wald test. The simulationmodel can be good re?ect a true market.