摘要
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.
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.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2009年第12期147-153,共7页
Systems Engineering-Theory & Practice
基金
国家社会科学基金(08BJL020)
教育部人文社科基金(07JC790066)
上海市科技发展基金软科学研究项目(086921005)
国家自然科学基金(70832005)
关键词
智能代理建模
人工证券市场
多样性和归纳推理
双相行为
agent-based modeling
artificial stock market
diversity and inductive reasoning
two-phase behavior