【摘要】：在交易過程中,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"創(chuàng)新"性地提出自己的交易策略,從而在引發(fā)股票市場上不同程度的波動與羊群行為。本文首先將交易者與股票的"多對多"關(guān)系等價轉(zhuǎn)換為"一對多"關(guān)系,構(gòu)建了由股票和交易者組成的二分網(wǎng)絡(luò)市場模型,并給出了交易與定價規(guī)則;然后,利用計算實驗的方法對模型進行仿真實驗,得到了與真實股價相似的時間序列以及不同"創(chuàng)新"概率下的持股分布;通過理論推導(dǎo),我們發(fā)現(xiàn)了三種不同的持股分布:具有指數(shù)截斷的冪律分布、二項分布和脈沖分布。最后,給出了研究結(jié)論與啟示。將計算實驗與復(fù)雜網(wǎng)絡(luò)應(yīng)用于行為金融研究具有較強的理論價值,同時對于投資者和監(jiān)管方來說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)濟管理學(xué)院;江蘇大學(xué)工商管理學(xué)院;
【基金】：國家社會科學(xué)基金重大資助項目(10zd&014);國家社會科學(xué)基金重點資助項目(08AJY024) 國家自然科學(xué)基金重大研究計劃培育項目(90924022);國家自然科學(xué)基金資助項目(70971064) 教育部人文社科青年基金資助項目(10YJC630084)
【分類號】：F224;F830.91

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本文編號：2248535