论文标题
小型GARCH型号及以后：具有自适应剂的凯尔风格的模型
Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents
论文作者
论文摘要
我们放宽了价格形成范式凯尔（Kyle）模型中代理商的强大理性假设，从而将不对称知情的商人的框架与适应性市场假设进行了调解，在这种假设中，代理使用电感性推理而不是演绎推理。在这些想法的基础上，我们提出了一个风格化的模型，能够以丰富的现象学为简单化，从过度波动到波动性聚类。在表征过多的挥发性动力学的同时，我们为GARCH模型提供了微观基础。波动率群集被证明与交易者行为引起的自我激发动态有关，并且不依赖聚类的基本创新。最后，我们提出了一个扩展，以说明闪光崩溃期间真实市场所表现出的脆弱动态。
We relax the strong rationality assumption for the agents in the paradigmatic Kyle model of price formation, thereby reconciling the framework of asymmetrically informed traders with the Adaptive Market Hypothesis, where agents use inductive rather than deductive reasoning. Building on these ideas, we propose a stylised model able to account parsimoniously for a rich phenomenology, ranging from excess volatility to volatility clustering. While characterising the excess-volatility dynamics, we provide a microfoundation for GARCH models. Volatility clustering is shown to be related to the self-excited dynamics induced by traders' behaviour, and does not rely on clustered fundamental innovations. Finally, we propose an extension to account for the fragile dynamics exhibited by real markets during flash crashes.
