| 金融市场U型曲线形成机理的仿真研究 |
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| 引用本文： | 高宝俊,宣慧玉,李璐. 金融市场U型曲线形成机理的仿真研究[J]. 天津大学学报(社会科学版), 2005, 7(3): 167-171 |
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| 作者姓名： | 高宝俊 宣慧玉 李璐 |
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| 作者单位： | 西安交通大学管理学院,西安,710049 |
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| 基金项目： | 国家自然科学基金资助项目(79970011) |
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| 摘 要： | 建立了一个基于代理人的金融市场仿真模型,并在Swarm仿真平台上实现了这一模型,模型中的交易者通过贝叶斯算法互相学习来形成各自的买卖报价。利用这一模型再现了一个交易日内买卖报价价差和价差波动的变化过程,从而从交易者的微观行为的角度解释了金融市场中U型曲线的形成机理。
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| 关 键 词： | 代理人 仿真 U型曲线 |
| 文章编号： | 1008-4339(2005)03-0167-05 |
| 修稿时间： | 2004-10-19 |
Agent-based Simulation of the U-shaped Pattern in Financial Markets |
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| GAO Bao-jun,XUAN Hui-yu,LI Lu. Agent-based Simulation of the U-shaped Pattern in Financial Markets[J]. Journal of Tianjin University(Social Sciences), 2005, 7(3): 167-171 |
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| Authors: | GAO Bao-jun XUAN Hui-yu LI Lu |
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| Abstract: | This paper built an Agent-based financial market sim ulation model and implemented it with the Swarm toolkit. Traders in this model i nteract with each other and form their bid and ask by Bayesian learning. Using t his model the U-shape pattern of spread and spread volatility, which has not be en satisfactorily explained in the previous literatures, were reproduced and the factors that determine it were investigated bottom-up. |
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| Keywords: | agent simulation U-shaped pattern |
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