基于Agent的连续双向拍卖人工金融市场交易机制涌现研究

发布时间：2019-01-23 16:00

【摘要】：基于Agent的人工金融市场研究是目前经济学研究的热点之一，本文在对人工金融市场相关文献进行系统综述的基础上，发现目前人工金融市场模型大多基于完全理性的期望效用理论而忽略了交易者的有限理性，同时该领域缺乏统一的仿真系统结构理论等问题。本文根据基于Agent建模的计算经济学（ACE）原理，利用Agent的自治性和反应性等特点，，将心理因素引入到Agent的行为，建立了一个以连续双向拍卖作为交易机制的人工金融市场仿真平台，研究交易机制的涌现。首先，使用面向对象建模方法提出了开放、统一的基于Agent的人工金融市场仿真平台系统架构。然后采用前景理论对交易者行为策略建模，基于ACE原理，设计了基于Agent的连续双向拍卖人工金融市场模型。进一步，利用AnyLogic建模软件工具，实现了基于Agent的连续双向拍卖人工金融市场的仿真平台。最后，本文在该仿真平台上，进行了连续双向拍卖人工金融市场仿真实验。实验结果表明：基于Agent的连续双向拍卖人工金融市场模型是合理有效的；涨跌幅限制遏制了金融市场的流动性，涨跌幅限制与金融市场波动性并非一一对应，放宽涨跌幅限制可以增加金融市场的流动性，而且不会显著影响金融市场的波动性；减小最小报价单位，报价价差减小，金融市场流动性增强，而市场深度与最小报价单位之间并不存在简单的单调增减关系。
[Abstract]:The research of artificial financial market based on Agent is one of the hotspots in economics. It is found that most of the artificial financial market models are based on fully rational expected utility theory and ignore the finite rationality of traders, and lack of unified simulation system structure theory in this field. Based on the (ACE) principle of computational economics based on Agent modeling, this paper introduces psychological factors into the behavior of Agent by using the characteristics of autonomy and responsiveness of Agent. An artificial financial market simulation platform with continuous bidirectional auction as trading mechanism is established to study the emergence of transaction mechanism. Firstly, an open and unified artificial financial market simulation platform architecture based on Agent is proposed using object-oriented modeling method. Based on the theory of ACE, the artificial financial market model of continuous two-way auction based on Agent is designed. Furthermore, using the AnyLogic modeling software tool, the simulation platform of continuous two-way auction artificial financial market based on Agent is realized. Finally, the simulation experiment of artificial financial market is carried out on this platform. The experimental results show that the artificial financial market model of continuous two-way auction based on Agent is reasonable and effective. The limit of fluctuation and fluctuation does not correspond to the fluctuation of financial market. Relaxing the limit of fluctuation can increase the liquidity of financial market and will not affect the volatility of financial market significantly. With the decrease of the minimum quotation unit, the price difference decreases, and the liquidity of the financial market increases, but there is no simple monotone increase or decrease relationship between the market depth and the minimum quotation unit.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.91;F713.359;TP391.9

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