Study on Simulation of the Stylized Facts in Chinese Financial Market Based on Minority Game
MG模型模拟我国金融市场格式化特征的研究

Employing normal probability plot, R/S analysis and autocorrelation function analysis, we find, the high frequency returns(time lag is fifteen minutes) of domestic financial market described by Shanghai index and Shenzhen composite index present the stylized facts, such as fat-tailed distribution, clustering and dependence. We also use "Producer-Speculator" simulation market based on minority game to reproduce these stylized facts. The significance of this part of work means the study of simulation market based on minority game can provide a probable approach to analyze real market quantitatively, because minority game can be studied via both numerical and analytical methods.