This paper intuitively examines the dynamic behavior of two highly relevant interest rates in China. The first one is the government rate, which is decided and published by the central bank and can be simulated by pure jump process. Estimation of the jump intension is given out. And by different robustness test, it keeps stable. The jump size has met the condition to make interest rate within reasonable bounds and shows some meaning of economic cycle behavior. The second one is the market rate, which is estimated by spline approximation based on the transaction data of government bonds. Several models, including Vasicek model, Vasicek-GARCH (1,1) model, CIR model, and CIR-GARCH(1,1), are empirically tested and the best performance is done by the Vasicek-GARCH(1,1) model. Furthermore, the estimate bias problem due to the near unit root process is tested and evidenced by both traditional methods and GPH test. Impact of government rate on market rate is finally checked and analyzed.

This paper proposes a modification to Minority Game (MG) by adding some agents who play majority game into MG. So it is referred to as Mix-game. Through simulations, this paper finds out that the fluctuations of local volatilities change a lot by adding some agents who play majority game into MG, but the stylized features of MG don’t change obviously except agents with memory length 1 and 2. This paper also uses mix-game to model Shanghai stock market and to do prediction about Shanghai index.