基于Agent的计算实验金融学:原理、方法和挑战

Agent-Based Computational Experiment Finance:Theory,Methodology and Challenges

近年来金融领域兴起了一个重要的理论分支-基于Agent的计算实验金融学。它将复杂自适应系统(CAS)理论思想与计算机技术相结合,通过构建人工金融市场模型,从微观层次揭示金融市场的宏观动力特性。介绍了基于Agent的计算实验金融学的理论基础、研究方法和取得的研究成果,最后讨论了它存在的问题和面临的挑战以及进一步的研究方向。

In recent years ,a new leading theory branch--agent-based computational experiment finance emerges in the literature of finance. Based on the integration of CAS（complex adaptive system） theory with computer technology,by constructing the artificial financial market model,the agent-based computational experiment finance intends to reveal the macroscopic dynamical features of the finance market from the penetration of the microscopic behaviors of investors （agents）. In this paper,its theoretical ba- sis-CAS theory,research method and research results are introduced in detail,and the existing problems and further research directions of the agent-based computational experimental finance are discussed.