基于Agent的金融市场模型研究进展综述  

Review on some research advances in Agent-based financial market models

作　　者：刘文财[1] 刘豹[1] 王启文[1] 张维[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《系统工程学报》2003年第2期135-141,共7页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(79970038).

摘　　要：对国外在金融市场领域刚兴起的基于Agent的模型作了综述.首先介绍了基于Agent金融市场模型的理论基础,即复杂适应系统CAS(complexadaptivesystem);接着以圣达菲研究所SFI(SnataFeInstitute)的人工股票市场ASM(artificialstockmarket)为例对该类模型作了简要描述;最后阐述了该类模型的理论研究进展及该领域的未来研究方向.The paper summarizes on some research advances in Agent_based financial market models, which is a new method at overseas. Firstly, it introduces the theory named complex adaptive system, which the models base on. Secondly, an example of the models as SFI (Santa Fe Institute) artificial stock market is described simply. And at last, some research advances and future research in this field are given.

关 键 词：金融市场 证券价格 AGENT 股票市场 数学模型 

分 类 号：F830.91[经济管理—金融学]