基于多智能体建模的股票市场投资策略有效性分析

发布时间：2018-03-21 02:01

本文选题：行为金融学　切入点：热手效应　出处：《山东财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：20世纪80年代以来，由于无法解释大量出现的“金融异象”，现代经典金融学的理论备受质疑。另一方面，能有效地解释这些“金融异象”的行为金融理论已经成为主流金融学的一部分，并处于金融研究领域的前沿。行为金融学主要研究人类心理对金融行为的影响以及其所带来的对整个市场的影响。伴随行为金融学自身的发展，其理论在金融实践活动中也起着越来越重要的指导作用。行为金融学理论着重分析金融市场中由于心理因素引起的投资者的失误偏差和市场的反常。学者们通过研究投资者在启发式效应的影响下进行的投资行为，创建了许多行为金融学投资策略。这些投资策略在市场中大行其道，，成为金融学界和投资者关注的焦点。本文采用计算实验金融学的研究思想和方法，以股票市场中交易个体为研究对象，利用计算机仿真技术构建基于我国股市真实历史数据的多智能体仿真交易平台。通过仿真平台模拟受行为金融学启发式效应影响的投资者的行为，并对平台产生的仿真交易数据进行分析，研究启发式效应对真实投资者的投资行为的影响情况。论文的结论是：在行为金融学的“热手效应”和”赌徒谬论”等启发式效应的影响下，个体投资者的投资收益并没有明显优于其他采用随机投资策略的投资者的收益，利用对“热手效应”和“赌徒谬论”启发式效应的研究为基础的股票投资策略并不能够明显提高投资者的收益。
[Abstract]:Since 1980s, due to the inability to explain a lot of "financial vision", modern classical financial theory has been questioned. On the other hand, can effectively explain these "anomalies" behavioral finance theory has become a part of mainstream finance, and at the forefront of financial research field. The main study of human behavioral finance the psychology of financial behavior and the influence brought to the entire market.
Along with the development of behavioral finance, the theory also plays a more and more important role in guiding the practice of financial activities. The behavioral finance theory focuses on the analysis of the financial market due to psychological factors caused by investors and market anomalies. The investment behavior of investment by scholars, researchers in effect under the influence of the heuristic the creation of many behavioral finance investment strategy. The investment strategy is popular in the market, the financial industry and become the focus of concern for investors.
This paper calculated the research thoughts and methods of experimental finance, with individual trading in the stock market as the research object, construct the real historical data of China's stock market trading platform based on multi-agent simulation using computer simulation technology. The simulation platform is influenced by behavioral finance heuristic effect on investor behavior, transaction data and simulation platform the analysis of heuristic effects on the real investors' behavior.
The conclusion of this paper is: in the hot hand effect of behavioral finance "and" gambler's fallacy "heuristic effect, individual investors investment income is not significantly better than that of other random investment strategy of investors, the stock investment strategy research on" hot hand effect "and" gambling fallacy "heuristic the effect of basis can not significantly improve returns to investors.

【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F830.91

【引证文献】