【作者】 陆超；

【导师】 李学伟；

【作者基本信息】 北京交通大学 ， 管理科学与工程， 2009， 博士

【摘要】 现代金融市场理论是新古典经济学在金融学领域的延伸,其理论基础为“随机游走模型”和“有效市场假说”。虽然这一理论体系在形式上十分精巧,但随着众多学者对现代金融市场理论和现实金融市场的深入研究,出现了许多质疑的声音。与此同时,学者们提出了许多新的研究方法和理论,解释了一些令人困惑的金融市场的异常现象,并得出许多有别于现代金融市场理论的结论。基于ACE的金融市场建模方法是全新的研究金融市场的重要方法之一。因此,它对于我们了解金融市场的每一个细节,透彻地分析金融市场的异常现象,发现底层规则和高层涌现特征之间的联系,最终建立更加完备的金融市场理论体系具有十分重要的理论价值和实际意义。本文以人工股票市场模型(Artificial Stock Market Model,简称ASMM)为例对基于ACE的金融市场建模关键技术进行了深入研究。论文的主要工作和创新性成果如下:(1)建立了基于人元的Agent模型。这一模型将Agent的客观属性和主观属性有效的分开使得Agent建模更加清晰;同时,运用模糊控制技术建立了具有模糊决策能力的主元模型,提高了Agent模型的决策能力。这两种Agent建模技术都具有一定的普遍性,可以在其他Agent模型中推广应用。(2)ASMM不仅再现了现实股票市场的典型统计特征,包括收益分布的尖峰厚尾特征、股价波动的线性和非线性相关性、股价与交易量的关系和波动聚集性等特征。而且产生了与现实股市十分相似的分形结构和混沌现象。因此,可以说,ASMM不仅能产生与现实股市极为相似的股价走势和特征,而且其分形结构、混沌特征与现实股市具有深刻的一致性。因此,通过对ASMM的深入研究可以揭示现实股票市场的演化规律、运作机理、政策影响以及更好的投资策略。(3)最后对ASMM的涌现结果进行了分析。首先,分析了学习与股票价格波动的演化关系,发现Agent们的不断学习是导致股票价格波动的主要成因之一;其次,分析了股票市场中财富分布状态的“二八现象”,发现产生这种现象的主要原因是市场中仅有少数Agent可以战胜市场,进而解释了现实股票市场中为什么好的投资策略往往是秘而不宣的;最后,分析了个体行为对政策效果的影响,发现市场中个体的行为模式是政策能否起到预期效果的重要因素之一。总之,基于ACE的金融市场建模方法不仅验证、支持现有的金融市场理论,而且可以作为各种新理论、新政策、新机制的试验平台和工具。更多还原

【Abstract】 The modern financial market theory is the extension of the neoclassical economics in the field of finance,the theoretical basis of which is the "Random Walk Model" and "Efficient Market Hypothesis".Although this system info is very delicate in the formality,many interrogative voices has appeared along with research to the modern financial market theories and the realistic financial market by many literates.At the same time,many literates,who explained some financial anomalies of the financial market and get many conclusions which are different from the modern financial market theories,put forward many new research methods and theories.Modeling methodology in financial market based on ACE is one of the most important methods in all of the new research method.Therefore,it has very important theories value and actual meaning,which can make us understand the detail of the financial market,and analyze the financial anomalies,and discover the interaction rule, and build up more complete financial market theories.Artificial stock market model(ASMM) is developed to illustrate the ACE modeling key techniques in financial market.As a result,several innovative points and practical meanings are as follows.(1) Firstly,we build up the human-element-based agent model,which separates the agent into the mental part and the physical part,and which can make the agent modeling easier and clearer.At the same time,we build up the main dollar model based on fuzzy control technology,which possess the fuzzy decision ability and improve the decision ability of the Agent model.Furthermore,theses two techniques can be generalized to other models of ACE.(2) ASMM not only can reproduce many typical facts of the real market,such as the Peak and Fat-tailed character of the returm distribution,linear correlation and nonlinear correlation between the price fluctuations,price-volume characteristic, volatility clustering of the price,but also can generate the fractal structure and chaos phenomena similar with real stock market.Comparing with the real stock market, ASMM can not only generate stock price trends and properties rather similar to the real, but also show the fractal structure and the chaotic behavior in deep consistency with the real stock market.So,research on ACE modeling approach and technique can reveal evolution rule of real stock market,operate mechanism,policy influence and better investment strategy.(3) Finally,we analyze the results of the emergent of the ASMMM.Firstly,the phenomena of stock price fluctuation under the different market condition is analyzed,. We find that study and evolution of Agent is one reason of the stock price fluctuation; Secondly,we analyses the "20/80" phenomenon of the wealth distribution and find that the reason of this phenomenon is the forecasting rule of a handful of agents in the market can win the stock market,so we can better explain why the good investment strategy usually keeps secret in the real stock market;Finally,we analyses how individual action impact on policy effect and find that individual action is one reason of whether effectiveness of policy limits can get expectation.As a result,ACE modeling approach in financial market is not only a tool to support and verify the modern financial market theories,but also a test-bed to experiment various new theories,new policy,and new mechanism.更多还原