We develop an agent-based model (ABM) of a financial market with multiple assets belonging either to the fixed income or equity asset classes. The aim is to reproduce the main stylized facts of fixed income markets with regards to the emerging dynamics of the yield curves. Our ABM is rooted in the market model of Kaizoji et al. (J Econ Behav Organ 112:289–310, 2015) formulated with two types of traders: the rational and risk-averse fundamentalist investors and the noise traders who invest under the influence of social imitation and price momentum. The investors involved in the present market model diversify their investments between a preferred stock equivalent to a perpetual bond and multiple bonds of selected maturities. Among those, a zero-coupon bond provides a constant rate of return, while the prices of the coupon-paying bonds are determined at each time step by the equilibrium between the investors’ demands and supplies. As a result, the ABM creates an evolving yield curve determined by the aggregate impact of the traders’ investments. In agreement with real markets, it also produces transient turbulent periods in the prices’ time series as well as a humped term structure of volatility. We compare the dynamics arising from different processes governing the risk-free rate with those of the historical US Treasury market. Introducing Vasicek’s model of interest rates to both synthetic and empirical rates demonstrates the capacity of our ABM in reproducing the main characteristics of the surface of autocorrelation of the volatilities of the yields to maturity of the US Treasury bonds for the selected time-frame.

我们开发了一种基于代理的金融市场模型 (ABM)，其中包含多种资产，属于固定收益或股权资产类别。目的是再现固定收益市场关于收益率曲线的新兴动态的主要程式化事实。我们的 ABM 植根于 Kaizoji 等人的市场模型。(J Econ Behav Organ 112:289–310, 2015) 制定了两种类型的交易者：理性和规避风险的原教旨主义投资者和在社会模仿和价格动量影响下投资的噪音交易者。参与当前市场模型的投资者将他们的投资分散在相当于永续债券的优先股和选定期限的多种债券之间。其中，零息债券提供恒定的回报率，而付息债券的价格在每个时间步由投资者的供求平衡决定。因此，ABM 创建了一条由交易者投资的总体影响决定的不断变化的收益率曲线。与实际市场一致，它还会在价格时间序列中产生短暂的动荡时期以及波动的驼峰期限结构。我们将管理无风险利率的不同过程所产生的动态与历史上美国国债市场的动态进行比较。将 Vasicek 的利率模型引入合成利率和经验利率，证明了我们的 ABM 能够再现选定时间范围内美国国债到期收益率波动率的自相关表面的主要特征。