本文關(guān)鍵詞： 股票市場仿真 基于主體建模 并行主體 集群環(huán)境　出處：《天津大學》2014年碩士論文　論文類型：學位論文

【摘要】：股票市場是金融市場的重要組成部分,建設(shè)股票市場仿真平臺將為金融領(lǐng)域的研究者提供更可靠的建模與實驗手段,可以為金融市場的創(chuàng)新及其風險管理提供“先驗性的”模擬仿真,形成金融市場當中政策創(chuàng)新的實驗床,為健康的金融創(chuàng)新及其風險管理提供可靠有效的技術(shù)手段�，F(xiàn)實中的股票市場的參與者是大量以投資者身份出現(xiàn)的個體,這些個體以異質(zhì)的自主的方式追求更好的市場績效。在此基礎(chǔ)上股票市場可以看作由大量具有適應性并且相互交互的個體組成的,系統(tǒng)結(jié)構(gòu)具有內(nèi)生演化性的復雜自適應系統(tǒng)。基于主體的建模方法(,)已經(jīng)成為研究復雜自適應系統(tǒng)的重要方法,本文將采用方法實現(xiàn)一個高效的股票市場仿真平臺。傳統(tǒng)的仿真方法中,主體之間串行運行,以時間步的方式仿真現(xiàn)實系統(tǒng)中的時間點進而模擬現(xiàn)實主體的并發(fā)性。本文在傳統(tǒng)方法的基礎(chǔ)上引入了并發(fā)主體的概念,利用多線程的并發(fā)優(yōu)勢實現(xiàn)主體間的并發(fā)運行,利用集群環(huán)境的計算資源提高仿真效率;另一方面,本文提出了一種并發(fā)調(diào)度的方案,使得主體的運行不再受限于調(diào)度系統(tǒng),從而更好的反映現(xiàn)實系統(tǒng)中投資者之間的關(guān)系。同時,復雜系統(tǒng)的宏觀現(xiàn)象在多主體的相互作用下才能正確的“涌現(xiàn)”出來,因此集群環(huán)境下的分布式通信也是仿真平臺的重要組成部分。為了保證主體間高效的消息傳輸,本文采用了集中通信與點對點通信相結(jié)合的綜合通信結(jié)構(gòu),借助消息隊列中間件的跨平臺性,實現(xiàn)了消息傳輸系統(tǒng),為上層主體的通信屏蔽了底層的物理環(huán)境。為了支持消息系統(tǒng)向上提供接口的一致性以及平臺管理的一致性,本文提出將股票交易市場看作是一種復雜的主體,與投資者主體具有相同的消息接口和調(diào)度接口。為了支持金融領(lǐng)域的研究者在平臺上試驗金融方面的算法和策略,平臺對外開放了相關(guān)自定義接口,包括投資者主體決策算法的定制接口,投資者主體交互網(wǎng)絡(luò)的定制接口,以及市場主體撮合機制的定制接口。本文最后通過平臺所表現(xiàn)的“典型的格式化特征”證明了平臺的有效性,并且通過對比試驗驗證了并行多主體股票仿真平臺相對于串行系統(tǒng)的性能提升以及隨著仿真規(guī)模增大而表現(xiàn)出來的擴展性。
[Abstract]:The stock market is an important part of the financial market. The construction of the stock market simulation platform will provide more reliable modeling and experimental means for the researchers in the financial field. It can provide a "transcendental" simulation for financial market innovation and its risk management, and form an experimental bed for policy innovation in financial markets. Provide reliable and effective technical means for healthy financial innovation and risk management. The participants in the real stock market are a large number of individuals who appear as investors. These individuals pursue better market performance in a heterogeneous and autonomous manner. On this basis, the stock market can be seen as consisting of a large number of adaptive and interactive individuals. Agent-based modeling method has become an important method to study complex adaptive systems. This paper uses the method to realize an efficient stock market simulation platform. In this paper, the concept of concurrent agent is introduced on the basis of traditional method, and the concurrency between agents is realized by using the concurrency advantage of multi-thread. On the other hand, this paper proposes a concurrent scheduling scheme, which makes the operation of the main body no longer limited by the scheduling system. In order to better reflect the relationship between investors in the real system. At the same time, the macro phenomena of complex systems can emerge correctly under the interaction of multiple agents. So the distributed communication in cluster environment is also an important part of the simulation platform. In order to ensure efficient message transmission between agents, this paper adopts a comprehensive communication structure which combines centralized communication with point-to-point communication. With the help of the cross-platform nature of message queue middleware, the message transmission system is implemented, and the underlying physical environment is shielded for the communication of the upper body. In this paper, the stock trading market is regarded as a complex entity, which has the same message interface and scheduling interface as the investor agent. In order to support the researchers in the financial field to test the algorithms and strategies of finance on the platform, The platform has opened up the relevant custom interfaces, including the customized interface of the investor agent decision algorithm, the customized interface of the investor subject interactive network, Finally, this paper proves the effectiveness of the platform through the "typical formatting characteristics" of the platform. The performance improvement of parallel multi-agent stock simulation platform compared with serial system and the expansibility of parallel multi-agent stock simulation platform with the increase of simulation scale are verified by comparison experiments.
【學位授予單位】：天津大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：TP391.9;F830.91

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