摘要翻译：
我们提出了一个基于最小Agent的模型，包含两类Agent：原教旨主义者（稳定）和宪章主义者（破坏），并重点讨论了生成程式化事实的基本特征。这导致了对肥尾和波动聚类的起源的详细理解，并提出了准临界状态下市场动力学的自组织机制。这些程式化的事实被证明对应于有限尺寸效应，然而，这些效应可以在不同的时间尺度上活跃。这意味着在用有效临界指数描述这些性质时不能期望普遍性。在代理行为中引入一个临界值（价格的小波动导致不行为），触发了自组织向准临界状态的转变。活性剂的数量和作用的非平稳性起着根本的作用。该模型可以很容易地以系统的方式推广到更现实的变体。
---
英文标题：
《Minimal Agent Based Model For The Origin And Self-Organization Of
  Stylized Facts In Financial Markets》
---
作者：
V.Alfi, L. Pietronero and A. Zaccaria
---
最新提交年份：
2008
---
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
--
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
--
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。
--

---
英文摘要：
  We introduce a minimal Agent Based Model with two classes of agents, fundamentalists (stabilizing) and chartists (destabilizing) and we focus on the essential features which can generate the stylized facts. This leads to a detailed understanding of the origin of fat tails and volatility clustering and we propose a mechanism for the self-organization of the market dynamics in the quasi-critical state. The stylized facts are shown to correspond to finite size effects which, however, can be active at different time scales. This implies that universality cannot be expected in describing these properties in terms of effective critical exponents. The introduction of a threshold in the agents' action (small price fluctuations lead to no-action) triggers the self-organization towards the quasi-critical state. Non-stationarity in the number of active agents and in their action plays a fundamental role. The model can be easily generalized to more realistic variants in a systematic way.
---
PDF链接：
https://arxiv.org/pdf/0807.1888