【摘要】：基于Agent的人工金融市場研究是目前經(jīng)濟(jì)學(xué)研究的熱點(diǎn)之一，本文在對人工金融市場相關(guān)文獻(xiàn)進(jìn)行系統(tǒng)綜述的基礎(chǔ)上，發(fā)現(xiàn)目前人工金融市場模型大多基于完全理性的期望效用理論而忽略了交易者的有限理性，同時該領(lǐng)域缺乏統(tǒng)一的仿真系統(tǒng)結(jié)構(gòu)理論等問題。 本文根據(jù)基于Agent建模的計算經(jīng)濟(jì)學(xué)（ACE）原理，利用Agent的自治性和反應(yīng)性等特點(diǎn)，，將心理因素引入到Agent的行為，建立了一個以連續(xù)雙向拍賣作為交易機(jī)制的人工金融市場仿真平臺，研究交易機(jī)制的涌現(xiàn)。 首先，使用面向?qū)ο蠼７椒ㄌ岢隽碎_放、統(tǒng)一的基于Agent的人工金融市場仿真平臺系統(tǒng)架構(gòu)。然后采用前景理論對交易者行為策略建模，基于ACE原理，設(shè)計了基于Agent的連續(xù)雙向拍賣人工金融市場模型。進(jìn)一步，利用AnyLogic建模軟件工具，實(shí)現(xiàn)了基于Agent的連續(xù)雙向拍賣人工金融市場的仿真平臺。最后，本文在該仿真平臺上，進(jìn)行了連續(xù)雙向拍賣人工金融市場仿真實(shí)驗(yàn)。 實(shí)驗(yàn)結(jié)果表明：基于Agent的連續(xù)雙向拍賣人工金融市場模型是合理有效的；漲跌幅限制遏制了金融市場的流動性，漲跌幅限制與金融市場波動性并非一一對應(yīng)，放寬漲跌幅限制可以增加金融市場的流動性，而且不會顯著影響金融市場的波動性；減小最小報價單位，報價價差減小，金融市場流動性增強(qiáng)，而市場深度與最小報價單位之間并不存在簡單的單調(diào)增減關(guān)系。
[Abstract]:The research of artificial financial market based on Agent is one of the hotspots in economics. It is found that most of the artificial financial market models are based on fully rational expected utility theory and ignore the finite rationality of traders, and lack of unified simulation system structure theory in this field. Based on the (ACE) principle of computational economics based on Agent modeling, this paper introduces psychological factors into the behavior of Agent by using the characteristics of autonomy and responsiveness of Agent. An artificial financial market simulation platform with continuous bidirectional auction as trading mechanism is established to study the emergence of transaction mechanism. Firstly, an open and unified artificial financial market simulation platform architecture based on Agent is proposed using object-oriented modeling method. Based on the theory of ACE, the artificial financial market model of continuous two-way auction based on Agent is designed. Furthermore, using the AnyLogic modeling software tool, the simulation platform of continuous two-way auction artificial financial market based on Agent is realized. Finally, the simulation experiment of artificial financial market is carried out on this platform. The experimental results show that the artificial financial market model of continuous two-way auction based on Agent is reasonable and effective. The limit of fluctuation and fluctuation does not correspond to the fluctuation of financial market. Relaxing the limit of fluctuation can increase the liquidity of financial market and will not affect the volatility of financial market significantly. With the decrease of the minimum quotation unit, the price difference decreases, and the liquidity of the financial market increases, but there is no simple monotone increase or decrease relationship between the market depth and the minimum quotation unit.
【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;F713.359;TP391.9

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