作　　者： ; ; ;

机构地区： 山东经济学院信息管理学院

出　　处： 《系统工程理论与实践》 2009年第12期147-153,共7页

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.

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

领　　域： [自然科学总论] [经济管理]