摘要
以前期建立的多智能体证券市场人工模型为平台,采用仿真分析的方法,研究了多样性和归纳推理在证券市场动力机制的作用,发现智能体策略的多样性是系统稳定的基础;在对称信息下,趋势交易作为一种可选交易风格不会导致系统波动增大,反而可以进一步提供多样性,稳定系统;归纳推理是产生收益率分布尖峰肥尾现象的关键因素之一.
In this paper, we study on the effects of diversity and inductive reasoning on the dynamics of artificial stock market based on a multi-agents models developed by our prior papers. We find the diversity of agents＇ expectations is the key factor to stabilize the system which is lack of negative feedback mechanism ; Trend trading as an optional trading style will not enlarge the fluctuations but bring more diversity of expectations when the information is symmetric ; Inductive reasoning meanwhile is one of the key factors that can reproduce the stylized facts, such as fat- tailed distribution. The results of our research are explicit from the two-fold viewpoints of complex adaptive system and stock market.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2007年第5期35-41,共7页
Systems Engineering-Theory & Practice
基金
中国博士后科学基金(20060390724)
关键词
智能体建模
人工证券市场
多样性和归纳推理
趋势交易
agent-based modeling
artificial stock market
diversity and inductive reasoning
trend trading
