基于少数者博弈的股市模型与市场程式化特征

The Market Stylized Facts and Stock-Market Model on Minority Games

在争当少数者博弈模型基础上提出了一个用于股票市场的争当少数者博弈模型。本模型中有三类经纪人:投机者、生产者和噪声交易者。其中投机者是市场的主体,他们不仅拥有多个策略,每次用最好的策略进行交易,且可以根据市场价格变化的趋势调整自己的交易量。投机者的金融资本随着市场价格的变化而波动。通过数值计算,模拟出了金融市场一些特有的特征:如市场崩溃,收益变化的浮动丛集性,收益分布的尖峰、肥尾等特征。

This article mainly proposes a model for stock market based on the minority games. In this model there appear three types of agent： speculators, producers, and noise traders in which speculators are considered as the main body in market. They have many strategies, and each time the best one can be used in trading. In addition, they can adjust their volume of trade to the variations of market prices. The financial capital fluctuates according to the market prices. This model can simulate many features in financial capital market by numerical calculation, such as market impact, the income volatility clustery and the peak or bottom in income graph.