系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2009年
12期
147~153
,共null页
智能代理建模 人工证券市场 多样性和归纳推理 双相行为
智能代理建模 人工證券市場 多樣性和歸納推理 雙相行為
지능대리건모 인공증권시장 다양성화귀납추리 쌍상행위
agent-based modeling; artificial stock market; diversity and inductive reasoning; two-phase behavior
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 offinancial 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以證券市場高頻數據為研究對象,通過實證分析髮現瞭證券市場的＂雙相行為＂（Two-phase behavior offinancial markets）.這箇現象是箇複雜性湧現,Plerou猜想引起這箇現象的原因是私人信息.該文在少數派博弈模型的基礎上,建立瞭一箇市場人工模型,倣真得到瞭同樣的特徵,併髮現智能代理多樣化的歸納推理模式是產生＂雙相行為＂的關鍵因素,市場微結構也有一定的影響,而私人信息不是關鍵因素.
Plerou,et al이증권시장고빈수거위연구대상,통과실증분석발현료증권시장적＂쌍상행위＂（Two-phase behavior offinancial 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.
