基于代表性异质投资者的汇率动态模型

Dynamic Model of Exchange Market Based on Heterogeneous Interacting-Agent Models

传统汇率模型通常忽略投资者的异质性对市场造成的影响。随着对外汇市场高频动态行为研究的深入,异质投资者模型显示出对金融市场运行规律强大的解释能力。本文依据异质投资者理论,结合外汇市场的实际特点,对由供求关系主导的孤立的外汇市场,推导并建立了基于投资者异质决策的汇率的非线性离散动态模型;并采取试验经济学的研究方法,对该模型进行了仿真。通过对不同条件下的仿真结果的研究可知,在由投资者主导的外汇市场中,基础投资者的投资行为是汇率发生振荡的原因,技术投资者的投资行为使汇率的振幅放大。

The impact of the market caused by investors＇ heterogeneity is usually neglected in the tradition-al exchange rate model. With the development of the research on the high frequency dynamic behavior of the exchange market, heterogeneous investors models show a powerful interpretation of laws governing the operation of financial markets. Based on the heterogeneity of the investment strategy, a nonlinear dynam-ics model describing the isolated exchange market and dominated by supply and demand is proposed in this paper. Some research results are obtained by simulation. In the exchange market dominated by investors, the investment behaviors of the fundamentalists make exchange rate vibrate,and the investment behaviors of the chartists amplify the amplitude of exchange rate.