CAJ | 학술논문

Plerou,et al 以证券市场高频数据为研究对象,通过实证分析发现了证券市场的"双相行为"(Two-phase behavior of financial markets).这个现象是个复杂性涌现,Plerou猜想引起这个现象的原因是私人信息.该文在少数派博弈模型的基础上,建立了一个市场人工模型,仿真得到了同样的特征,并发现智能代理多样化的归纳推理模式是产生"双相行为"的关键因素,市场微结构也有一定的影响,而私人信息不是关键因素.
Plerou,et al 이증권시장고빈수거위연구대상,통과실증분석발현료증권시장적"쌍상행위"(Two-phase behavior of financial markets).저개현상시개복잡성용현,Plerou시상인기저개현상적원인시사인신식.해문재소수파박혁모형적기출상,건립료일개시장인공모형,방진득도료동양적특정,병발현지능대리다양화적귀납추리모식시산생"쌍상행위"적관건인소,시장미결구야유일정적영향,이사인신식불시관건인소.
An empirical study on high-frequency data of financial markets which was published on Nature found a new stylized fact so called two-phase behavior. This phenomenon is a complex emergency, the author Plerou suggested this phenomenon may be caused by the diffusing of private information. In this paper, we developed a new artificial stock market based on the extended minority game. We simulated on this new model and reproduced the two-phase behavior. We also found that the key factor causing two-phase behavior is inductive reasoning which is main character of investor's behavior. Microstructure is another reason impacts two-phase behavior by combined working with inductive reasoning while the privative information is not the essential reason to produce two-phase behavior.