基于SOA金融仿真平台的研究与实践  

STUDY AND PRACTICE OF FINANCIAL SIMULATION PLATFORM BASED ON SOA

作　　者：马文军[1] 张永进[1] 

机构地区：[1]西安理工大学,陕西西安710048

出　　处：《计算机应用与软件》2009年第2期26-27,57,共3页Computer Applications and Software

基　　金：国家"863"计划资助项目(2005AA113150)

摘　　要：面对日益复杂的金融仿真要求,为了提高仿真准确性,满足实时性需求,通过实现面向服务架构的金融仿真平台,减低仿真平台的耦合性,同时提供金融仿真实践中常用的蒙特卡洛数值计算框架,采用简化仿真模型的建立过程来减低成本。在此基础上通过股票价格行为模型和期权定价模型对仿真平台性能进行测试,结果与实际数据对比,结果稳定,误差率低。由此表明仿真平台能够满足实际金融仿真的需求。Facing the increasing complex financial simulation requirement, in order to improve the accuracy of simulation and to meet the demand of real timing and cost cutting,in the thesis it reduces the coupling of financial simulation platform by implementing it on SOA basis. Meanwhile the common used Monte Carlo value computing framework used in financial simulation practice is adopted to simplify the establishing process of the simulation model as well as to reduce the cost. Finally, based on that, the performance of simulation platform is tested through stock pricing model and option pricing model. Comparing with the actual data, the simulation results is stable and less error. All of this indicates that the simulation platform can meet the actual demands of the financial simulation.

关 键 词：金融仿真 面向服务架构 期权定价 蒙特卡洛 

分 类 号：TP391.9[自动化与计算机技术—计算机应用技术] F832.1[自动化与计算机技术—计算机科学与技术]