| 基于Agent的人工股票市场构建及其仿真研究 |
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| 引用本文： | 李永立.基于Agent的人工股票市场构建及其仿真研究[J].价值工程,2009,28(9):147-154. |
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| 作者姓名： | 李永立 |
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| 作者单位： | 中国航天科技集团工程咨询中心,100037;复旦大学经济学院,上海200433 |
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| 基金项目： | 复旦大学"挑战杯"科技创新项目资助 |
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| 摘 要： | 基于行为金融学和市场微观结构理论的部分研究成果,建立了一个基于Agent的人工股票市场,这在人工股票市场建模领域是全新的尝试。在文中构建的人工股票市场基础上,揭示了市场的信息传递原理,回答了在怎样的条件下市场可以达到弱势有效,同时,揭示了收益率分布尖峰厚尾的原因与其与市场效率的关系,指出了各类交易商在市场中占优的条件。在此基础上,本文将文中模型与中国的股票市场进行了类比,提出完善我国股市的三条建议。
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| 关 键 词： | 人工股票市场 计算机仿真 行为金融学 市场微观结构理论 市场有效性 |
The Constructing of Agent-based Stock Market and Its Studying of Stimulation |
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| Li Yongli.The Constructing of Agent-based Stock Market and Its Studying of Stimulation[J].Value Engineering,2009,28(9):147-154. |
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| Authors: | Li Yongli |
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| Institution: | Li Yongli (China Aerospace Engineering Consultation Center, beijing 100037,China; School of Economics, Fudan University, Shanghai 200433, China) |
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| Abstract: | Based on some results on behavior finance and market microstructure theory,an agent-based stock market has been constructed in the new way.Some experiments have been done on this stock market,through which the principle of information delivered on the stock market is explained.What's more,this paper also tells how stock market can be weak-form EMH,how its distribution function of profits can be spike and heavy tails,and how some agents beat others.In conclusion,this paper compares the agent-based stock mark... |
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| Keywords: | agent-based stock market computer stimulation behavior finance market microstructure theory EMH |
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