Calibration of the agent-based continuous double auction stock market by scaling analysis

Authors:
Yuelei Li;Wei Zhang;Yongjie Zhang;Xiaotao Zhang;Xiong Xiong
Affiliations:
-;-;-;-;-
Venue:
Information Sciences: an International Journal
Year:
2014

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Abstract

This paper proposes one calibration method for the agent-based continuous double auction (CDA) stock market by scaling analysis based on the work by Pasquini and Serva (1999) [12]. We design and build an agent-based CDA stock market, which uses the same trading mechanism as the Chinese stock market. We also perform a scaling analysis of the absolute returns in both the artificial and real stock markets. The results show volatility correlations as power laws in all the markets. More importantly, the power-law exponent is not unique, and all such exponents follow a multi-scale behavior. All exponents @b(@c) trend to the theoretical value 0.5 with increasing scaling index @c. Scaling character is an important intrinsic quality of the stock market, and this method can be used in calibrating the agent-based stock market model.