【摘要】 本文构建了一个基于异质性交易者的投机性期货市场仿真模型,从交易者微观行为的角度分析市场价格的动态特征。市场中有限理性的交易者具有异质性信念和不同的学习能力。个体预期不断调整,市场根据密封拍卖机制出清,期货价格随之变化。仿真结果表明,价格的波动与市场中大投机交易者的活动密切相关。仿真能够再现期货价格波动高峰厚尾。长记忆等特征。噪声交易者在市场中的生存,取决于外部信息流对市场的影响过程以及其他交易者的行为.本文是采用计算金融学仿真方法研究衍生产品市场的一种尝试,也为此领域的研究者在模型的实现上提供了另外一种容易实现的途径。更多还原

【Abstract】 A simulation model of a speculative futures market is established to analyze the futures price dynamics from the angle of traders’ micro-behavior.The boundedly rational traders in futures markets hold heterogeneous beliefs and learning capacity.With the Individual expectation adjusted continually,the sealed-bid auction clearance mechanism generates the market price,The simulations show that the price volatility in futures market and large speculators’ trading activities are closely related.Fat tails of returns distribution and long-term memory process in futures price time series appeared in twice simulations.The noise traders’ survivals in futures market depend on the process which generates the external information flow and other traders’ behavior.The paper is an attempt to use computational finance method to study derivative market.and also provide another easier model simulation realization method for researchers in this field.更多还原