多样性和归纳推理与证券市场动力机制  

Study on the Diversity and Inductive Reasoning in Securities Market

作　　者：刘兴华[1] 杨建梅[1] 

机构地区：[1]华南理工大学工商管理学院

出　　处：《系统工程理论与实践》2007年第5期35-41,共7页Systems Engineering-Theory & Practice

基　　金：中国博士后科学基金(20060390724)

摘　　要：以前期建立的多智能体证券市场人工模型为平台,采用仿真分析的方法,研究了多样性和归纳推理在证券市场动力机制的作用,发现智能体策略的多样性是系统稳定的基础;在对称信息下,趋势交易作为一种可选交易风格不会导致系统波动增大,反而可以进一步提供多样性,稳定系统;归纳推理是产生收益率分布尖峰肥尾现象的关键因素之一.In this paper, we study on the effects of diversity and inductive reasoning on the dynamics of artificial stock market based on a multi-agents models developed by our prior papers. We find the diversity of agents＇ expectations is the key factor to stabilize the system which is lack of negative feedback mechanism ; Trend trading as an optional trading style will not enlarge the fluctuations but bring more diversity of expectations when the information is symmetric ; Inductive reasoning meanwhile is one of the key factors that can reproduce the stylized facts, such as fat- tailed distribution. The results of our research are explicit from the two-fold viewpoints of complex adaptive system and stock market.

关 键 词：智能体建模 人工证券市场 多样性和归纳推理 趋势交易 

分 类 号：N941[自然科学总论—系统科学] F830[经济管理—金融学]