摘要翻译：
我们详细研究了基于Agent的模型的统计性质及其对乘性动力学的推广。该模型的目的是考虑最小的要素，以理解程式化事实的起源及其自组织。关键因素是原教旨主义代理人、宪章主义代理人、羊群动力学和价格行为。前两个要素对应于市场中稳定和不稳定倾向之间的竞争。羊群行为支配着Agent改变策略的可能性，是这类模型的一个关键因素。线性近似允许对模型动力学的简单解释，对于许多性质，可以导出解析结果。广义非线性动力学的结果是对参数空间极其敏感，分析和控制困难得多。然而，关于程式化事实的性质和自组织的主要结果在这两种情况下是非常相似的。非线性动力学的主要特点是涨落的增强和程式化事实的更明显的证据。我们还将讨论对模型的一些修改，以引入更真实的元素，与真实的市场有关。
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英文标题：
《Minimal Agent Based Model for Financial Markets II: Statistical
  Properties of the Linear and Multiplicative Dynamics》
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作者：
V. Alfi, M. Cristelli, L.Pietronero, A. Zaccaria
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Physics        物理学
二级分类：Statistical Mechanics        统计力学
分类描述：Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变，热力学，场论，非平衡现象，重整化群和标度，可积模型，湍流
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  We present a detailed study of the statistical properties of an Agent Based Model and of its generalization to the multiplicative dynamics. The aim of the model is to consider the minimal elements for the understanding of the origin of the Stylized Facts and their Self-Organization. The key elements are fundamentalist agents, chartist agents, herding dynamics and price behavior. The first two elements correspond to the competition between stability and instability tendencies in the market. The herding behavior governs the possibility of the agents to change strategy and it is a crucial element of this class of models. The linear approximation permits a simple interpretation of the model dynamics and, for many properties, it is possible to derive analytical results. The generalized non linear dynamics results to be extremely more sensible to the parameter space and much more difficult to analyze and control. The main results for the nature and Self-Organization of the Stylized Facts are, however, very similar in the two cases. The main peculiarity of the non linear dynamics is an enhancement of the fluctuations and a more marked evidence of the Stylized Facts. We will also discuss some modifications of the model to introduce more realistic elements with respect to the real markets.
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PDF链接：
https://arxiv.org/pdf/0808.3565