摘要
基于双向拍卖机制作为价格生成机制,应用遗传算法来进化预测规则,建立了中国股市的人工金融市场模型,并在此基础上研究了投资者情绪对于市场演化行为的影响。研究结果表明人工市场能够产生真实市场演化过程中的混沌动力学行为,并且市场演化行为随着投资者情绪的变化而变动。这一研究对挖掘中国股票市场的演化规律具有重要意义。
Based on the double auction mechanism for pricing and the Genetic Algorithm to optimize forecasting rules,this paper proposed a new artificial financial model to simulate China＇s stock market,and moreover,made a study on the effect of investor sentiment on market evolution.The results show that the artificial stock market can generate chaotic dynamics in market evolution which is similar to the study in real markets,and market evolving behaviors change along with investor sentiment.This study would provide new sight for research on financial market evolution rules.
出处
《计算机工程与应用》
CSCD
北大核心
2009年第12期30-32,共3页
Computer Engineering and Applications
基金
国家自然科学基金委员会优秀创新研究群体基金(No.70221001)
中国博士后科学基金资助项目(No.20070410648)
关键词
人工金融市场
投资者情绪
市场演化
混沌动力学
artificial stock market
investor sentiment
market evolution
chaotic dynamics
