股票市场混沌演化机制:基于计算实验方法的模拟解释  

Stock Market Chaotic Evolution Mechanism Based On Computational Experiments

作　　者：邹琳[1] 杨亚男[1] 马超群[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《系统工程》2013年第7期8-14,共7页Systems Engineering

基　　金：教育部高校博士点基金资助项目(20100161120005);湖南大学青年教师成长计划项目;国家杰出青年科学基金资助项目(70825006)

摘　　要：通过构造一个具有中国特色的人工股票市场,研究混沌的生成机制和混沌动力学过程。在建立基于双向拍卖交易机制的人工股票市场的基础上,进行控制性实验。通过反复实验,挖掘导致股票市场混沌产生的序参量。实验结果表明:政策因子、噪声交易者、交易者学习进化速度、交易者预测规则集中预测规则的数目和股票市场的流通量是股票市场的序参量,它们的变化会导致市场涌现的动璃学特征的改变,并且某些序参量的改变与股票市场混沌动力学特征的出现并不是线性的关系。最后,根据对序参量的分析结果,提出了相应的混沌控制方法。By constructing an artificial stock market with Chinese characteristics, chaotic generated mechanism and chaotic dynamics process are studied. Based on an order-driven artificial Chinese stock market, this paper conducts controlled experiments. Through repeated experiments, order parameters are digged out which lead to stock market chaos. The result show that policy factor, noise traders, interval of evolution, the number of traders＇ forecasting rules and the number of trading cycle are order parameters of stock market, and their change would lead to the change of dynamics characteristics emerged by market. Also there dosen＇t exist a linear relationship between the change of some order parameters and the appearance of stock market chaotic dynamics characteristics. Finally, based on the analysis result of order parameters, this paper puts forward corresponding strategies to control chaos.

关 键 词：人工股票市场 混沌 序参量 AGENT 中国股票市场 

分 类 号：F830[经济管理—金融学]