摘要
在这研究,我们造一个双拍卖市场模型,包含代理人商人的二种类型,,噪音商人和信奉正统派基督教的人,在证券市场上调查商人作文的效果。它被发现那,重要林中小丘代表和办理价格的跟踪脂肪的分发能在噪音商人的任何比率被观察。在价格变化性质上分析,包括林中小丘代表和价格变化区域,当比率是中等的时,这些性质是稳定的表演。然而,包括交易量和二种代理人的盈利,非价格变化性质不在噪音商人的比率的任何间隔 untrivially 保持稳定。
In this study, we build a double auction market model, which contains two types of agent traders, i.e., the noise traders and fundamentalists, to investigate the effect of the trader composition on the stock market. It is found that, the non-trivial Hurst exponent and the fat-tailed distribution of transaction prices can be observed at any ratio of the noise traders. Analyses on the price variation properties, including the Hurst exponent and the price variation region, show that these properties are stable when the ratio is moderate. However, the non-price variation properties, including the trading volume and the profitability of the two kinds of agents, do not keep stable untrivially in any interval of the ratio of noise traders.
基金
Supported by National Natural Science Foundation of China under Grant Nos.60973152 and 60573172
Doctoral Program Foundation of Institution of Higher Education of China under Crant No.20070141014
Natural Science Foundation of Liaoning Province of China under Grant No.20082165