【摘要】 基于Agent的金融市场仿真是一种自底向上的金融复杂系统研究方法。本文针对连续竞价市场建立了一个基于Agent的股票市场仿真模型,模型中有基本分析者和技术交易者两类A-gent。利用这一模型再现了实际交易数据中表现出来的异常现象,研究了技术交易者对价格动态和交易量的影响以及技术交易规则的有效性问题。更多还原

【Abstract】 Agent-based simulation is a bottom-up method for financial complex systems. The paper introduces an agent-based simulation model for order-driven stock market, which determines the order of traders by technical or fundamental trading rules. The dynamics of the model mimic stylized facts such as the emergence of bubbles, excess volatility, fat tails for returns or volatility clustering quite well. Using this model as a laboratory, we study the effects of chartists on the price dynamics and the effectiveness of technical trading rules.更多还原