本文選題：Agent　切入點(diǎn)：人工股票市場　出處：《華中科技大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：做市商交易機(jī)制在西方國家的金融市場運(yùn)用的十分廣泛，，幾乎所有的股票市場都是采用做市商交易機(jī)制。近年來，我國學(xué)者也開始關(guān)注做市商交易機(jī)制，準(zhǔn)備把其引入我國股票市場。隨著實(shí)驗(yàn)金融學(xué)和行為金融學(xué)的出現(xiàn)和計(jì)算機(jī)技術(shù)的發(fā)展，新興的基于Agent建模的計(jì)算機(jī)實(shí)驗(yàn)金融學(xué)越來越多的被運(yùn)用到金融學(xué)領(lǐng)域。 本文的研究進(jìn)一步推廣應(yīng)用了計(jì)算機(jī)實(shí)驗(yàn)金融學(xué)理論，同時(shí)對金融市場微觀結(jié)構(gòu)理論的發(fā)展提供良好的實(shí)驗(yàn)平臺(tái)，對社會(huì)經(jīng)濟(jì)和科技發(fā)展具有較好的理論與應(yīng)用價(jià)值。本項(xiàng)研究的主要思路和研究方法可以推廣到針對其它金融模式下的仿真實(shí)驗(yàn)研究方面，同時(shí)對一般金融研究也有一定的借鑒意義。 本文首先從金融市場微觀結(jié)構(gòu)基礎(chǔ)知識(shí)出發(fā)，考慮了買賣價(jià)差形成原因和市場中的不對稱信息的狀態(tài)和做市商的存貨風(fēng)險(xiǎn)等，結(jié)合做市商的存貨模型和信息模型構(gòu)建了一個(gè)新的做市商模型。 然后利用基于Agent建模的實(shí)驗(yàn)金融學(xué)方法模擬了市場中的各類Agent，其中做市商Agent具有自適應(yīng)學(xué)習(xí)能力，會(huì)根據(jù)市場的狀態(tài)調(diào)整自身的行為以達(dá)到多目標(biāo)任務(wù)，可模擬出實(shí)際市場的動(dòng)態(tài)變化過程。 進(jìn)一步通過計(jì)算機(jī)仿真反復(fù)多次實(shí)驗(yàn)研究做市商交易機(jī)制下的人工股票市場，通過調(diào)整市場環(huán)境參數(shù)和投資者學(xué)習(xí)模型中參數(shù)等來研究做市商人工金融市場復(fù)雜系統(tǒng)。 分析了對做市商的存貨成本和交易量等量之間的關(guān)系，證明了做市商agent心理始終擁有一個(gè)最佳存貨量。 最后，文章進(jìn)一步通過對做市商的買賣價(jià)差建模，分析了買賣價(jià)差構(gòu)成各部分的比例，又通過計(jì)算機(jī)仿真實(shí)驗(yàn)研究買賣價(jià)差成分與交易量之間的關(guān)系，和做市商的存貨量和價(jià)差之間的關(guān)系。所有的實(shí)驗(yàn)都是為了有針對性地調(diào)整做市商的行為，保證市場上交易量和價(jià)差達(dá)到最佳狀態(tài)的目的。
[Abstract]:The market maker trading mechanism is widely used in the financial markets of western countries. Almost all stock markets adopt the market maker trading mechanism. In recent years, Chinese scholars have also begun to pay close attention to the market maker trading mechanism. With the emergence of experimental finance and behavioral finance and the development of computer technology, new computer experimental finance based on Agent modeling has been applied to finance more and more. The research in this paper further popularizes and applies the theory of computer experimental finance, and at the same time provides a good experimental platform for the development of financial market microstructure theory. It has good theoretical and practical value for the development of social economy and science and technology. The main ideas and research methods of this study can be extended to the simulation experiments under other financial models. At the same time, the general financial research also has certain reference significance. Based on the basic knowledge of the microstructure of financial market, this paper first considers the reasons of the spread of buying and selling price, the state of asymmetric information in the market and the inventory risk of the market maker, etc. A new market maker model is constructed by combining inventory model and information model of market makers. Then the experimental financial method based on Agent modeling is used to simulate all kinds of agents in the market. The market-maker Agent has adaptive learning ability and adjusts its behavior to achieve multi-objective tasks according to the market state. Can simulate the dynamic change process of the actual market. Furthermore, the artificial stock market under the market maker trading mechanism is studied repeatedly by computer simulation, and the complex system of market maker artificial financial market is studied by adjusting the market environment parameters and the parameters in the investor learning model. The relationship between inventory cost and trading volume of market makers is analyzed. It is proved that the agent psychology of market makers always has an optimal inventory quantity. Finally, the paper further analyzes the proportion of each part of the price difference by modeling the market maker's price difference, and studies the relationship between the component of the price difference and the trading volume through computer simulation experiment. All experiments are aimed at adjusting the behavior of market makers in order to ensure that the trading volume and the spread in the market reach the best condition.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F830.91;F224

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