【作者】 黄光晓；

【导师】 郑鸣；

【作者基本信息】 厦门大学 ， 金融学， 2009， 博士

【摘要】 浮动汇率制度下，外汇市场上汇率的持续异常波动是经济学中最让人困惑和难以给予理论解释的经济现象之一。从20世纪70年代的宏观模型到90年代末以来日益盛行的外汇市场微观结构理论研究，虽然大量的研究工作取得了很多令人鼓舞的进展，但至今还不能很好解释汇率内在生成机制及其波动特性。与之相对应，汇率理论中微观基础和宏观规律之间的联系也一直没有得到合理的说明。近年来，随着复杂性科学在经济和金融研究中的应用，出现了一种崭新的金融市场研究方法——计算实验金融学。计算实验金融学借助多主体仿真技术构建人工金融市场，模拟金融市场的运行，来发现金融市场演化的规律。从现有研究成果来看，人工金融市场的研究已经取得了一定的进展，展示了良好的发展前景。本文借助人工外汇市场来研究外汇市场存在的复杂性特征及其演化机制，加深对汇率形成机制以及持续波动成因的理解。本文从三个方面开展有关研究工作。首先，采用元胞自动机模型模拟外汇市场，从交易者心理预期角度对其复杂性进行分析。其次，建立基于异质性交易者的汇率决定模型，通过人工外汇市场仿真实验，分析外汇市场复杂性的演化规律。然后，引入央行干预改进基于异质性交易者的汇率决定模型，通过人工外汇市场仿真实验，分析央行干预对汇率稳定的影响。最后，结合仿真实验和压力测试的结果，分析了人民币汇率政策调整对汇率稳定的影响，并提出相应的政策建议。本文研究发现，虽然人工外汇市场的假设简化了市场结构和主体行为特征，和真实市场存在一定的差异，但仍很好地描述了外汇市场复杂性演化的过程，为外汇市场演化规律的研究提供了一个非常有效的手段。人工外汇市场仿真实验表明，外汇市场的复杂性演化与交易者行为模式紧密相关。交易者心理预期的变化是造成汇率预测的不确定性、环境变化影响的不确定性和市场轨迹的非周期性循环等复杂性特征的主要原因。本文的创新之处在于：借助复杂系统建模“自下而上”的思想，从外汇市场微观主体的行为模式入手，通过人工外汇市场来研究外汇市场复杂性演化的规律，开拓了汇率研究的新思路。更多还原

【Abstract】 In floating exchange rate system, the continued abnormal fluctuations in the exchange rate is the most confusing phenomenon and difficult to explain though the economic theory. We still can’t explain the exchange rate formation mechanism and its inherent volatility characteristics, although many studies have made a lot of encouraging progress from the macro-model appeared in the 70’s to the increasingly popular theory of the exchange rate market microstructure research in the late 90’s. Correspondently, we also can not give a reasonable explanation to the linkages between the micro basic theory and the macro law for the exchange rate.A new research methodology - Computational Experiment Finance has been recently widely used on the study of the financial market with the complexity science’s application in the economic and financial research. Computational Experiment Finance is a study method that the Multi-Agents Simulation technology is used to make the artificial exchange market, to simulate the financial market and find out the rule of its complex evolution. From the research results we can get, the researchers have made some progress in the artificial financial market and it shows a good prospect. We adopt the new method to research on the foreign exchange market. It will show the complexity characteristics and evolution mechanism of the foreign exchange market.There are three aspects of the research work in this paper:First, Cellular automaton model is used to research on the complex nature of existence and the mechanism of evolution, and to analyze the complexity characteristics and evolution mechanism through the point of trader’s prospection. Secondly, the model of exchange rate determination based on heterogeneous traders is set up and is used to simulate the artificial foreign exchange market. The result of simulation shows the complexity characteristics and evolution mechanism of the foreign exchange market. Then, we introduce the official intervention to the exchange rate determination model, and try to find out the relationship between the stability of foreign exchange market and the official intervention. Thirdly, we combine the results of the simulation and pressure test of RMB exchange rate, and analyze the infection of official intervention to RMB. At last, we make some related policy advice.We find that the artificial foreign exchange market explores the most complexity characters of real market through it simplify the market structure and trader’s reaction model. The research also shows the evolution of complexity in foreign exchange market is closely related to the action of the traders. The traders’ anticipation of is the directly reason for uncertainty of exchange forecast, circumstances and unicycle of the market.The main contribution of this paper is that we use the artificial foreign exchange market to research the development pattern of the evolution of complexity in foreign exchange market and develop a new idea of exchange rate research.更多还原