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证券市场高频数据双相行为的仿真

zhfliu 添加于 2010-4-22 12:12 | 2251 次阅读 | 0 个评论

作者
刘兴华, 梁晓蓓, 杨海波
摘要
Plerou,et al以证券市场高频数据为研究对象,通过实证分析发现了证券市场的"双相行为"(Two-phase behavior offinancial markets).这个现象是个复杂性涌现,Plerou猜想引起这个现象的原因是私人信息.该文在少数派博弈模型的基础上,建立了一个市场人工模型,仿真得到了同样的特征,并发现智能代理多样化的归纳推理模式是产生"双相行为"的关键因素,市场微结构也有一定的影响,而私人信息不是关键因素. An empirical study on high-frequency data of financial markets which was published on Nature found a new stylized fact so called two-phase behavior.This phenomenon is a complex emergency,the author Plerou suggested this phenomenon may be caused by the diffusing of private information.In this paper,we developed a new artificial stock market based on the extended minority game.We simulated on this new model and reproduced the two-phase behavior.We also found that the key factor causing two-phase behavior is i...
详细资料
- 关键词: 智能代理建模; 人工证券市场; 多样性和归纳推理; 双相行为; agent-based modeling; artificial stock market; diversity and inductive reasoning; two-phase behavior;
- 文献种类:期刊
- 期刊名称: 系统工程理论与实践
- 期卷页: 2009年第12期
- 地址: 山东经济学院信息管理学院; 同济大学经济与管理学院;
- 日期: 2010-01-18
标签

Two-phase behavior
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