文献类型：期刊文献

英文题名：Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets

作者：Ji, JingRu[1];Wang, Donghua[2];Tu, JingQing[1]

机构：[1]East China Univ Sci & Technol, Sch Business, Shanghai, Peoples R China;[2]East China Univ Sci & Technol, Inst Financial Engn, Shanghai, Peoples R China

年份：2018

卷号：18

期号：12

起止页码：2067

外文期刊名：QUANTITATIVE FINANCE

收录：;WOS:【SSCI(收录号:WOS:000449540200009)，SCI-EXPANDED(收录号:WOS:000449540200009)】；

基金：This work is supported by the National Science Foundation of China [grant number 71171083, 71771087]; Innovation Program of Shanghai Municipal Education Commission [grant number 14ZS058]; Shanghai Pujiang Program [grant number 15PJC021]. We are grateful to Dinghai Xu for helpful suggestions.

语种：英文

外文关键词：Agent-based model; Method of simulated moments; GSL-div; CSI 300; S&P 500

摘要：We modify a simple agent-based model (ABM) proposed by Franke and Westerhoff [J. Econ. Dyn. Control, 2012, 36(8), 1193-1211] through considering the price limits and the motion of the fundamental value. The method of simulated moments is applied to calibrate both initial and modified ABMs with CSI 300 and S&P 500 respectively, and the goodness-of-fit of each ABMs is tested. The calibration results indicate that the modified model performs better than initial one. Then, we utilize the GSL-div, proposed by Lamperti [Econometrics Stat, 2018, 5, 83-106.], to verify the explanatory power of ABMs. In this procedure, 13 ARCH family models are introduced as benchmarks. The result shows that the explanatory power of modified ABM exceeds ARCH models in both markets, while initial ABM may be defeated by some of the ARCH family models in explaining the microstructure of CSI 300. Finally, a heuristic algorithm is designed to disentangle the insights of Chinese and US stock markets to the observed time horizon through calibrating the initial fundamental value, and Kupiec test is used to check the robustness of the calibration. The result indicates that the explanation of modified model is robust in both markets, while initial model lost its robustness when explaining S&P 500.