基于多主体的股票市场建模与分析

发布时间：2018-01-08 13:20

本文关键词：基于多主体的股票市场建模与分析　出处：《南京信息工程大学》2012年硕士论文　论文类型：学位论文

更多相关文章： 多主体模型 Swarm仿真 GARCH效应

【摘要】：随着经济的不断发展,股票市场已成为我国资本市场中最活跃、发展最快的市场,因此它也成为众多专家学者研究的焦点。股票市场有许多普遍存在的特征性事实,如尖峰胖尾、波动聚集等,而这些现象是传统金融理论难以解释的。基于多Agent的复杂适应系统的发展为经济系统的研究注入了新的活力。它将经济系统看作是由无数个相互作用、有自治性和学习能力的经济主体组成的复杂系统。经济系统的演变和演化是主体对周围环境适应的结果,是主体交互作用涌现的宏观行为,这种自下而上的建模理念就是基于多主体的建模方法。股票市场是一个典型的复杂适应系统,本文在一个基于信息传播的多Agent模型的基础上,着重对波动聚集影响因素做了研究,发现市场拓扑结构的变化对市场价格行为有着深远的影响,为以后更好的研究波动聚集影响因素提供了一个很好的借鉴。另外,我们在Lux模型思想的基础上,加入观望者类型,建立改进模型,利用Swarm仿真平台进行仿真,对模型产生的数据进行分析,以此来揭示股票市场中的“特征性事实”,随后研究了模型收益率的GARCH效应,发现当市场处于周期形态时,收益GARCH效应显著,当市场处于泡沫均衡态时,收益GARCH效应并不显著,从而为现实证券投资者和市场交易者的投资决策提供一定的理论基础,丰富了现有的金融理论。
[Abstract]:With the continuous development of economy, the stock market has become the most active and fastest growing market in the capital market of our country. Therefore, it has also become the focus of many experts and scholars. There are many characteristics of the stock market, such as peak fat tail, volatility aggregation and so on. These phenomena are difficult to explain in the traditional financial theory. The development of complex adaptive systems based on multiple Agent has injected new vitality into the study of economic systems. It regards economic systems as numerous interactions. The evolution and evolution of the economic system is the result of the adaptation of the subject to the surrounding environment and the macro-behavior of the interaction of the main body. This bottom-up modeling idea is based on multi-agent modeling. Stock market is a typical complex adaptive system. Based on a multi-#en0# model based on information dissemination, this paper focuses on the influence factors of volatility aggregation. It is found that the change of market topology has a profound influence on the market price behavior, which provides a good reference for further research on the influencing factors of volatility aggregation. On the basis of the idea of Lux model, we add the type of wait-and-see, establish the improved model, use the Swarm simulation platform to simulate, and analyze the data generated by the model. In order to reveal the "characteristic facts" in the stock market, the paper studies the GARCH effect of the return rate of the model, and finds that when the market is in the form of cycle, the GARCH effect of return is significant. When the market is in a bubble equilibrium, the GARCH effect is not significant, which provides a theoretical basis for the investment decisions of real securities investors and market traders, and enriches the existing financial theory.
【学位授予单位】：南京信息工程大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F830.91

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