多资产市场异质投资者财富动态研究

发布时间：2018-03-15 11:07

本文选题：计算实验金融　切入点：多资产　出处：《南京大学》2013年硕士论文　论文类型：学位论文

【摘要】：目前大多数基于计算实验的金融市场研究都是假设市场中只有一只风险资产,而且往往不考虑投资者之间的信息交互作用。然而随着计算机技术的发展,网路时代的到来,信息的载体不断丰富,人与人之间的信息交流日益密切,不同资产之间联动的可能性也随之增加。因此,研究信息交互模式下多资产市场中异质投资者的财富动态,不仅可以给投资者提供策略指导,也可以给监管部门的制度制定和政策调控提供参考。本文运用计算实验金融的方法,建立了一个可以包含任意多只资产的人工股市,市场中的投资者可以相互交流信息。投资者有的看中资产的基本面,有的则关注资产的历史价格走势;有的投资者一直关注股市,而有的则是有限注意。我们将其划分为四组,即基础盯市型、基础有限注意型、技术盯市型和技术有限注意型,考察这四组投资者的财富动态和资产的价格走势。模拟结果发现：当基础型与技术型人数接近时,基础型投资者的影响力更大,他们对市场起到了很好的稳定作用。而且无论市场是否平稳,基础型投资者都获得了优于技术型的财富表现。本文的主要创新点在于：第一,多资产的计算实验金融研究是目前国内学术研究的一大空缺,即使在国外也很少见,本文的研究丰富了多资产金融市场的计算实验研究成果。第二,有些计算实验模型虽然也是针对多资产金融市场的,但是模型中往往加入了非常严格的市场限制或假设条件,降低了研究成果的可应用性。本文的模型可以包含任意数量的资产,并且可以灵活地设定投资者之间的信息交互模式,适用范围比较广。
[Abstract]:At present, most financial market studies based on computational experiments assume that there is only one risky asset in the market, and often do not consider the information interaction among investors. However, with the development of computer technology, the advent of the network age, The carrier of information is becoming more and more abundant, the information exchange between people is becoming more and more close, and the possibility of linkage between different assets is also increasing. Therefore, we study the wealth dynamics of heterogeneous investors in multi-asset market under the mode of information interaction. It can not only provide investors with strategic guidance, but also provide reference for regulatory system formulation and policy regulation. In this paper, an artificial stock market containing any number of assets is established by using the method of computational experimental finance. Investors in the market can exchange information with each other. Some investors are interested in the fundamentals of the assets. Some are concerned about the historical price trend of assets; some investors have been paying attention to the stock market, while others have limited attention. We divide it into four groups, namely, the basic market staring type, the basic limited attention type, the technology targeting market type and the technical limited attention type. The simulation results show that when the number of basic type and technology type is close, the base investor has more influence. They have played a good stabilizing role in the market and, regardless of whether the market is stable or not, basic investors have achieved better wealth performance than technology. The main innovations of this paper are as follows: first, experimental financial research on multi-asset computing is a major lack of academic research in China, which is rare even in foreign countries. The research in this paper enriches the computational experimental results of multi-asset financial markets. Second, although some computational experimental models are also aimed at multi-asset financial markets, they often include very strict market restrictions or assumptions. The model of this paper can contain any number of assets, and can flexibly set the information exchange model between investors, which has a wide range of applications.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.9;F224

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