基于Agent建模的人工金融市场计算实验框架

Design on Computation Experiments Framework of Artificial Financial Market Based on Agent Model

基于面向对象设计方法提出了开放式、模块化的人工金融市场Agent模型一般结构,并设计了基于Agent的人工金融市场计算实验框架。以连续双向拍卖交易机制下的金融市场最小报价单位仿真为具体案例,在该框架下进行了计算实验仿真研究,得出了与现实金融市场实证研究一致的结论,为通过实验经济学方法研究金融市场理论提供了计算实验基础。

Based on object-oriented design method,an open,modular and general structure of artificial financial market agent model was proposed,and agent-based artificial financial market computation experiments framework was designed.Finally,the tick size simulation of the financial markets under the continuous double auction trading mechanism was taken as a specific case,the computational experimental simulation within this framework was discussed,and the obtained conclusion was coincided with the empirical study of real financial markets.It provides a computational experiment basis for financial market theory through the method of experimental economics.