Tongkui Yu分享 http://blog.sciencenet.cn/u/ytkui

博文

硕士论文(Abstract):基于主体的股市模型及其复杂动力行为研究——模拟实验和理论分析

已有 3048 次阅读 2007-12-27 23:27 |个人分类:我的论文

 
Lots of empirical studies show that stock market exhibits some so called “styled facts” such as volatility clustering, fat tail (leptokurtosis) and long memory of return, which are difficult for the traditional financial theory to explain. But why these phenomena occur? This attracts many people’s interest. Agent-based computational economics (ACE) is a new subject regarding the stock market as an evolving system of interacting autonomy agents, which studies how the simple rules of agents can emerge amazing complex population dynamics. But ACE depends on computer simulation, which is difficult to explain with formal analysis and cannot give the inner mechanism of these styled facts. While a multi-agent modeling of stock market is presented by Lux in Nature [1], combining the computer simulation and mathematical analysis properly, gives an explanation of these phenomena and draws wide attention.
Following Lux’s idea of multi-agent modeling of stock market, this paper develops as following.
Firstly, an artificial stock market model based on multi-agent is presented under the direction of Lux. Computer simulation is performed on the platform of SWARM and the result demonstrates that the market price fluctuation is similar to real financial time series. Theory analysis on his mathematical model gives the reason why these phenomena happen.
Secondly, according to the shortcoming of the Lux model, this paper introduces the “Entry and exit ” mechanism and presents an improved agent-based stock market model. Computer simulation shows that this improved model is more consistent with the real market. Two market status variables are presented: market confidence index and market rationality index, and together with price they depict the market state. The differential dynamic system constituted of the three variables control the market running. Theory analysis and numerical simulation shows that this mathematical model still cannot capture the mechanism of these styled facts, which proves Lux’s explanation is farfetched. Theory analysis and numerical simulation shows that market presents many kinds of modalities including chaos as the result of the tendency of mutual contagion, price chasing and strategy changing of agents.
Finally, statistic analysis on typical simulation result is performed to test the statistical properties similar to real market time serials. This proves that our model grabs the basic mechanism of stock market.
The main contributions of this paper are:(1) explaining the reason of the styled facts in some extent; (2) explaining the market states of equilibrium, periodicity and chaos; (3) explaining the non-ubiquity of chaos in stock market; (4) proving Lux’s explanation of stock market styled facts is farfetched; (5) giving a possible explanation of the continuous departure of price from fundamental value.
At the same time, this paper explores new approach and tool of economic study. (1) The thought of complex economic system is introduced, depicting the the stock market as an evolving complex dynamic system. (2) Agent-based computational economics (ACE) is studied and used in the work. (3) A wide used software package for multi-agent simulation of complex systems SWARM is learned thoroughly and used in the dissertation; this expands the economic modeling tools.
 
Keyword: Agent-based modeling of stock market, simulation, SWARM, 
complex dynamical system, chaos


https://blog.sciencenet.cn/blog-4716-13413.html

上一篇:硕士论文(目录):基于主体的股市模型及其复杂动力行为研究——模拟实验和理论分析
下一篇:硕士论文(第1章 绪论):基于主体的股市模型及其复杂动力行为研究——模拟实验和理论分析
收藏 IP: .*| 热度|

0

发表评论 评论 (0 个评论)

数据加载中...

Archiver|手机版|科学网 ( 京ICP备07017567号-12 )

GMT+8, 2024-3-29 06:56

Powered by ScienceNet.cn

Copyright © 2007- 中国科学报社

返回顶部