【作者】 王臻；

【导师】 孟卫东；

【作者基本信息】 重庆大学 ， 技术经济及管理， 2004， 硕士

【摘要】 社会经济系统是一个复杂适应系统,它是由许多不同层次的相互影响、相互学习、相互竞争的主体组成的。社会经济系统的复杂性导致它产生了传统线性计量经济学无法解释的非线性现象。新兴的理论产生,为经济学的研究提供了新的研究工具,如分形、混沌、非线性动力学等。然而这些研究工具的引入但仍然没有摆脱通过对时间序列的分析来研究经济管理统的传统方式。最近十年来,基于主体建模的系统仿真技术逐渐被应用到社会经济研究中。这种建模技术是在微观层次上构建个体行为者,进而由微观个体行为的推导出宏观效应,是一种自下而上的研究方法。而复杂适应系统理论正是这种建模技术的理论基础。复杂适应系统理论的最基本的概念是具有适应能力的、主动的个体,简称主体。这种主体在与环境的交互作用中遵循一般的刺激—反应模型,所谓适应能力表现在它能够根据行为的效果修改自己的行为规则,以便更好地在客观环境中生存。复杂适应系统理论的核心思想就是,适应性造就复杂性。因此,对复杂系统的研究,可以从构成该系统的适应性主体开始。少数派博弈(Minority Game)模型在建立复杂适应系统的基于主体的仿真模型方面具有重要的应用。模型描述奇数个主体的动态博弈行为,主体在每个时刻都根据以往的公共历史信息各自独立的决定站在甲方或乙方,最终人数较少的一方获胜。虽然少数派模型非常简单,但它却抓住了社会经济系统中有限理性的个体对有限资源争夺的本质特征。社会经济系统是公认的复杂系统。应用复杂适应系统的思想对社会经济系统进行研究是基于这样一个大胆的假设:社会经济系统复杂行为建立在某些简单的规则之上,人们可以通过这些简单规则的长期相互作用来揭示它的复杂行为。本文基于基本的少数派博弈模型构建了一个仿真的股票市场,并赋予了各主体相互模仿的投机行为。研究了在股票市场中模仿行为在交易者之间的流行程度对市场宏观层次上如效率和风险等因素的影响。其主要创新之处在于使用主体仿真建模的方法,在少数派博弈模型中引入了投资者的模仿行为,使用RePast平台予以实现并进行了分析研究。更多还原

【Abstract】 The economic system is a complex adaptive system, it makes up with many agents in different hierarchies affecting, learning and competing each other. The complexity of the economic system leads to many nonlinear phenomena that cannot be explained by traditional econometrics. The emerging of new theories brings new tools for economics study, such as fractal, chaos and nonlinear dynamics, etc. But these tools do not break up the traditional pattern, which studies economics by analyzing time series.In the last decades, the agent-base modeling was introduced into economic studies. Agent-base modeling builds agents in the micro level to conclude macro effects, which is a bottom-up method. And the Complex Adaptive System (CAS) theory is its theoretical foundation. The basic concept of CAS is adaptive agent. Agent follows IF-THEN method when interacting with environment. Adaptive agent changes its behavior according the effectiveness of acts to survive. The core idea of CAS theory is: adaptability makes complexity. Therefore, to study complex system can start with adaptive agents that consist it.The Minority Game (MG) model has an important application in the agent-based modeling of complex adaptive system. MG model describes a continuous game of agents with odd numbers, at each time step an agent much choose to stand one of two sides and the minority group win. Since MG model is very easy to understand, it masters the key feature of agents with boundary rationality contesting for limit resources in economic society. It is recognized that economic society is a complex system. The application of CAS theory in the study of economic society is based on the courageous hypothesis: The complexity of economic society is emerged from some simple rules, so we can study the long-running interaction of these rules to reveal the complexity.We build a simulation stock market based on MG model in this paper. And each agent has the capability to imitate others behaviors. Also we study the relationship of the popularity of imitation behavior and the macro factors of stock market such as effectiveness and risk. The creativity of this paper is to simulate the imitation behavior based on MG model using agent-based modeling method, and implement and analyze it with the RePast simulation toolkit.更多还原