Study On Modeling Of The Artificial Financial Market Based On Minority Game Model And Complex Network

Financial system is a complex system. The traditional finance can't explain these phenomena such as excess volatility, fat tailed distribution of return, herding behavior and so on. Hence, it attracts lots of scholars across a broad range of disciplines and with the help of high-powered computers, modeling and simulation of financial market have been a significant method in this area.Minority Game (MG) model is a hot model recently and it well simulates the psychology and behavior on of the Agent in the financial market. Some researches make it clear that financial market has complex network structure, so, we apply the complex network theory into this our research.Base on Minority Game model, complex network theory and the analyses of the financial market, we put forward a new artificial financial market model. In this model the network between Agents is formed due to the information share and the Agent uses the Minority Game to make decision. Our mainly research is as follows:1. Build our financial market model based on Minority Game and Complex Network. The model includes the model of Agent (the attributes, strategies and connection of Agent) and trading rules of the financial market (the update of attributes and score of strategies). Further more, to well simulate financial market, we use preferential attachment strategy to form the evolution of network.2. Simulate the financial market base on our model and get the price series and return series, analyze whether they are similar with phenomena of the real market.3. Analyze the distribution of connection degree, judge whether they match the characters of the complex network.From the experiments, we get the following results: Big changes of stock price and revenue appear frequently and it comes out fat tail phenomenon of the return. Also, we get that the network of Agents has scale-free character and as the probability of network's initial connection increases, the increasing speed of the average degree of Agent will first rise, get the maximum, and then drop.The research on financial market is a huge project, it concerns many factors and needs more scholars across a broad range of disciplines. In this dissertation, we apply complex network theory into model and we use preferential attachment mechanism to form the evolution of network. Anyway, our work is an instructive exploration on artificial financial market.