本文選題：人類主體實(shí)驗(yàn) + Roth-Erve學(xué)習(xí)模型��； 參考：《天津大學(xué)》2014年碩士論文

【摘要】：計(jì)算實(shí)驗(yàn)金融學(xué)研究中的構(gòu)建人工股票市場(chǎng),核心問題是主體的學(xué)習(xí)機(jī)制的設(shè)計(jì),學(xué)習(xí)機(jī)制是主體理性不同的體現(xiàn)。隨著大量學(xué)習(xí)模型的理論研究的涌現(xiàn),采用實(shí)際的、高質(zhì)量的實(shí)驗(yàn)數(shù)據(jù)來對(duì)模型進(jìn)行校驗(yàn)研究的重要性也日益凸顯。本文實(shí)際采用人類主體實(shí)驗(yàn)的方法獲得投資者學(xué)習(xí)過程的股價(jià)序列,來校驗(yàn)計(jì)算實(shí)驗(yàn)金融里Roth-Erve學(xué)習(xí)模型中的遺忘參數(shù)和類比參數(shù)。通過在一定區(qū)間內(nèi)改變學(xué)習(xí)模型參數(shù)的大小,得到擬合性相對(duì)高、適應(yīng)性較強(qiáng)的投資者學(xué)習(xí)過程的模型參數(shù)。本文首先從計(jì)算實(shí)驗(yàn)金融研究的整體研究高度出發(fā),詳細(xì)探討了Roth-Erve學(xué)習(xí)模型在此領(lǐng)域研究的起源、發(fā)展和重要應(yīng)用意義,以及應(yīng)運(yùn)而生的學(xué)習(xí)模型的校驗(yàn)研究。并通過文獻(xiàn)的梳理和對(duì)問題的理解,提出了采用適應(yīng)我國投資者學(xué)習(xí)心理和過程的人類主體實(shí)驗(yàn)對(duì)學(xué)習(xí)模型校驗(yàn)的觀點(diǎn)。因?yàn)樾ｒ?yàn)學(xué)習(xí)模型的本質(zhì)是從心理學(xué)角度出發(fā)的,單純的將西方的理論套用在我國投資者上,其科學(xué)性和可行性是值得質(zhì)疑的。通過基于實(shí)驗(yàn)經(jīng)濟(jì)學(xué)軟件z-Tree,結(jié)合Hommoes提出的“學(xué)習(xí)并預(yù)測(cè)的主體實(shí)驗(yàn)”(LtFEs)的實(shí)驗(yàn)原理,設(shè)計(jì)了符合本國投資者心理特征的人類主體實(shí)驗(yàn),實(shí)驗(yàn)后獲得了股價(jià)序列等相關(guān)數(shù)據(jù)。同時(shí),也基于MATLAB軟件設(shè)計(jì)了采用Roth-Erve學(xué)習(xí)模型的計(jì)算金融實(shí)驗(yàn),模擬投資者的投資決策過程,同樣收集股價(jià)序列等數(shù)據(jù)。通過調(diào)整學(xué)習(xí)模型的參數(shù)值,來控制學(xué)習(xí)模型的擬合效果,進(jìn)而探析如何設(shè)置學(xué)習(xí)模型參數(shù)能夠更好的模擬我國投資者的心理特征和學(xué)習(xí)過程。實(shí)驗(yàn)結(jié)果表明,本文設(shè)計(jì)的人類主體實(shí)驗(yàn)得到具有收斂和阻尼振動(dòng)特征的兩類股價(jià)序列。當(dāng)價(jià)格序列收斂時(shí),說明本實(shí)驗(yàn)所構(gòu)造的異質(zhì)投資者條件和自適應(yīng)的學(xué)習(xí)過程是有效的,能夠達(dá)到類似理性預(yù)期均衡的狀態(tài);通過計(jì)算金融實(shí)驗(yàn),用Roth-Erve學(xué)習(xí)模型對(duì)兩類股價(jià)序列進(jìn)行模擬,能夠找到擬合性高的解,并結(jié)合四個(gè)選項(xiàng)的實(shí)際意義,分析了學(xué)習(xí)過程和股價(jià)序列特征的理論原因;最后,在給定的參數(shù)區(qū)間內(nèi),通過改變參數(shù)而進(jìn)行擬合性高低的比較,可以找到相對(duì)本國投資者適應(yīng)性更高的參數(shù)值。這為計(jì)算實(shí)驗(yàn)金融的應(yīng)用,提供了更適應(yīng)本國投資者的學(xué)習(xí)模型。
[Abstract]:The key problem in the construction of artificial stock market in the research of computational experimental finance is the design of the learning mechanism of the subject, which is the embodiment of the different subjective rationality.With the emergence of a large number of theoretical studies on learning models, the importance of using practical, high-quality experimental data to verify the models is becoming increasingly prominent.In this paper, the stock price sequence of investor learning process is obtained by using the method of human subject experiment in order to verify and calculate the forgetting parameters and analogical parameters in the Roth-Erve learning model in experimental finance.By changing the parameters of the learning model in a certain interval, the model parameters of the investor learning process with relatively high fit ability and strong adaptability are obtained.In this paper, the origin, development and important application of Roth-Erve learning model in this field are discussed in detail from the perspective of the overall research on computational experimental finance.By combing the literature and understanding of the problem, this paper puts forward the viewpoint of checking the learning model by using the human subject experiment which adapts to the learning psychology and process of the investors in our country.Because the essence of the calibration learning model is from the angle of psychology, it is doubtful that the western theory is applied to the investors in our country.Based on the experimental economics software z-Treeand combined with the experimental principle of "Learning and predicting the subject experiment" proposed by Hommoes, this paper designs a human subject experiment which accords with the psychological characteristics of domestic investors. After the experiment, the stock price sequence and other relevant data are obtained.At the same time, based on the MATLAB software, we also designed a computational financial experiment using Roth-Erve learning model to simulate the investors' investment decision-making process, and also collect the stock price sequence and other data.By adjusting the parameters of the learning model, the fitting effect of the learning model is controlled, and how to set the parameters of the learning model can better simulate the psychological characteristics and learning process of the investors in China.The experimental results show that two kinds of stock price sequences with the characteristics of convergence and damping vibration are obtained in the human subject experiment designed in this paper.When the price sequence converges, it shows that the heterogeneity investor condition and adaptive learning process constructed in this experiment are effective and can achieve a state similar to rational expectation equilibrium.The Roth-Erve learning model is used to simulate two kinds of stock price sequences, which can find a good fitting solution. Combined with the practical significance of the four options, the theoretical reasons of the learning process and the characteristics of the stock price sequence are analyzed. Finally, in the given parameter range, the theoretical reasons for the characteristics of the learning process and the stock price sequence are analyzed.By changing the parameters and comparing the fitness, we can find the parameter value with higher adaptability than the domestic investors.This provides a more suitable learning model for domestic investors for the application of computational experimental finance.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F830.91

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