讲座题目：An Agent-Based ModelApproach for Stochastic Modeling of Financial Fluctuations
主讲人：冯凌
时间：2014年9月18日（周四）14:00-15:30
地点：交通运输学院211室
主讲人介绍：
Dr. Feng Ling isworking as scientist in the Complex System Group at Institute of HighPerformance Computing (IHPC), Agency for Science Technology and Research(A-Star) of Singapore. Before that he was a research fellow at Center forComputational Science and Engineering, Physics Department, National Universityof Singapore. His research focuses on complex systems in social science andphysiology. Dr. Feng got his PhD from Graduate school of NGS in NationalUniversity of Singapore in 2013. In 2011 to 2013 he was a visiting scholar atH. Eugene Stanley’s group at Boston University.
讲座内容摘要：
From certain empirical behaviors in financial market, we derive astochastic model that is ARCH-like. The main behaviors incorporated in thismodel are convergence of opinions among technical traders and theirheterogeneous investment horizons. It first behaviors is found to explain thefat-tail distribution of returns, and the second explains the long memory involatility. An explicit relation between the behaviors and the two stylizedfacts are given in terms of mathematical relations, which is verifiedempirically. The model shed some light on the apparent critical phenomenon offinancial time series, and provides some behavioral interpretation to ARCHformulation.
