【摘要】：在交易過(guò)程中,作為智能A gen t的交易者不但學(xué)習(xí)他人的交易策略,而且會(huì)"創(chuàng)新"性地提出自己的交易策略,從而在引發(fā)股票市場(chǎng)上不同程度的波動(dòng)與羊群行為。本文首先將交易者與股票的"多對(duì)多"關(guān)系等價(jià)轉(zhuǎn)換為"一對(duì)多"關(guān)系,構(gòu)建了由股票和交易者組成的二分網(wǎng)絡(luò)市場(chǎng)模型,并給出了交易與定價(jià)規(guī)則;然后,利用計(jì)算實(shí)驗(yàn)的方法對(duì)模型進(jìn)行仿真實(shí)驗(yàn),得到了與真實(shí)股價(jià)相似的時(shí)間序列以及不同"創(chuàng)新"概率下的持股分布;通過(guò)理論推導(dǎo),我們發(fā)現(xiàn)了三種不同的持股分布:具有指數(shù)截?cái)嗟膬缏煞植�、二�?xiàng)分布和脈沖分布。最后,給出了研究結(jié)論與啟示。將計(jì)算實(shí)驗(yàn)與復(fù)雜網(wǎng)絡(luò)應(yīng)用于行為金融研究具有較強(qiáng)的理論價(jià)值,同時(shí)對(duì)于投資者和監(jiān)管方來(lái)說(shuō)都有一定的借鑒和參考意義。
[Abstract]:In the course of trading, traders as intelligent A gen t not only learn the trading strategies of others, but also put forward their own trading strategies "innovatively", thus causing volatility and herd behavior in the stock market to varying degrees. In this paper, the "many-to-many" relationship between a trader and a stock is transformed into a "one-to-many" relationship, and a dichotomic network market model composed of stocks and traders is constructed, and the trading and pricing rules are given. Using the method of computational experiment to simulate the model, the time series similar to the real stock price and the shareholding distribution under different "innovation" probability are obtained. We find three different shareholding distributions: power law distribution with exponential truncation, binomial distribution and impulse distribution. Finally, the conclusion and inspiration are given. It is of great theoretical value to apply computational experiments and complex networks to the study of behavioral finance, and it is useful for both investors and regulators.
【作者單位】： 南京航空航天大學(xué)經(jīng)濟(jì)與管理學(xué)院;山東政法學(xué)院商學(xué)院;山東英才學(xué)院經(jīng)濟(jì)管理學(xué)院;江蘇大學(xué)工商管理學(xué)院;
【基金】：國(guó)家社會(huì)科學(xué)基金重大資助項(xiàng)目(10zd&014);國(guó)家社會(huì)科學(xué)基金重點(diǎn)資助項(xiàng)目(08AJY024) 國(guó)家自然科學(xué)基金重大研究計(jì)劃培育項(xiàng)目(90924022);國(guó)家自然科學(xué)基金資助項(xiàng)目(70971064) 教育部人文社科青年基金資助項(xiàng)目(10YJC630084)
【分類號(hào)】：F224;F830.91

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本文編號(hào)：2248535