基于SWARM的模拟股市及其特征性事实

SWARM Based Artificial Stock Market and the Characteristic Facts

根据复杂经济系统思想,建立一个基于主体的股市模型,并利用SWARM平台进行系统仿真。对仿真结果的统计分析表明,收益率序列呈现波动聚集、尖峰肥尾和长期记忆等股市普遍存在的特征性事实。模型揭示了股市运行的内在机制,给股市特征性事实一个合理的解释。

A stochastic multi-agent model of stock market was constructed based on the theory of complex economy system. Computer simulation is performed on the platform of SWARM. Statistic analysis on typical simulation result shows that return serials of simulation exhibits the ＂characteristic facts＂ of the real stock market such as volatility clustering, fat tail （leptokurtosis） and long memory of return. This model presents the basic mechanism of stock market and gives a reasonable explanation of the ＂characteristic facts＂.