基于Swarm的股票市场建模与GARCH效应研究  

Modeling of Stock Market and Study on GARCH Effect Based on Swarm

作　　者：杨春霞[1] 朱新龙[1] 胡森[1] 

机构地区：[1]南京信息工程大学信息与控制学院,南京210044

出　　处：《价值工程》2012年第18期144-145,共2页Value Engineering

摘　　要：波动性是金融研究的基础议题之一,文章在多主体模型的基础上对它进行了研究。首先,在Lux模型基础上增加观望者类型,建立改进模型,并在Swarm平台上进行仿真,产生与真实股价走势相似的价格时间序列,随后研究了模型收益率的GARCH效应,发现当市场处于周期形态时,收益GARCH效应显著,当市场处于泡沫均衡态时,收益GARCH效应并不显著。Volatility is a financial research basic topic, we study it based on multi-agent model in this paper. First, we improve the Lux modal in the aspect of adding the type of spectator, build the improved model and simulate on the platform of Swarm, the model produce the price time series which is similar to the real stock. Subsequently we analyzes the GARCH effect of return ratio and find the effect is obvious in the periodicity regime, but it is not obvious when the market is at the bubble equilibrium state.

关 键 词：多主体模型 SWARM仿真 GARCH效应 

分 类 号：F83[经济管理—金融学]