Simulating the dynamics of silver market using computational market dynamics

摘要

Traditional econometric approaches in modeling the dynamics of equity and commoditymarkets, have, made great progress in the past decades. However, theyassume rationality among the economic agents and and do not capture the dynamicsthat produce extreme events (black swans), due to deviation from the rationalityassumption. The purpose of this study is to simulate the dynamics of silver marketsby using the novel computational market dynamics approach. To this end, the dailydata from the period of 1st March 2000 to 1st March 2013 of closing prices of spotsilver prices has been simulated with the Jabłonska-Capasso-Morale(JCM) model.The Maximum Likelihood approach has been employed to calibrate the acquireddata with JCM. Statistical analysis of the simulated series with respect to the actualone has been conducted to evaluate model performance. The model capturesthe animal spirits dynamics present in the data under evaluation well.