本文選題：Agent + 人工金融市場�。� 參考：《華中科技大學(xué)》2012年碩士論文

【摘要】：基于Agent的行為金融學(xué)與投資行為的研究是當前經(jīng)濟學(xué)中比較熱門的一個方向，通過對國內(nèi)外相關(guān)研究現(xiàn)狀的學(xué)習(xí)，發(fā)現(xiàn)目前大多數(shù)的建模都是單一風(fēng)險資產(chǎn)且投資者Agent大多數(shù)采用期望效用理論。鑒于此，本文引入前景理論，建立一個基于Agent的多股票連續(xù)雙向拍賣人工金融市場（人工市場）。研究市場由下至上出現(xiàn)的涌現(xiàn)現(xiàn)象、交易者策略、單股票和多股票市場差異。 本文集中使用前景理論、Markowitz投資組合理論、單一心理賬戶行為資產(chǎn)組合理論建立了人工市場。該人工市場中前景理論交易者采用前景理論來刻畫對財富變化的心理效用，使用行為資產(chǎn)組合理論在多股票市場進行投資組合；基礎(chǔ)交易者采用期望效用理論來刻畫財富的效用，使用Markowitz投資組合理論在多股票市場進行投資組合；隨機交易者的價格預(yù)測和訂單量確定都是隨機的，在多股票市場中也沒具體的投資組合。清算機制采用訂單簿的形式來形成市場交易價格。 使用Anylogic軟件實現(xiàn)了人工市場仿真平臺，通過仿真實驗表明：本文的人工市場是有效的，宏觀上市場價格具有波動性，收益率具有非正態(tài)性，以及各類交易者整體財富的變化情況符合人的主觀感受。在此基礎(chǔ)上進行了多股票人工市場交易者交易策略比較仿真實驗，發(fā)現(xiàn)基礎(chǔ)交易者和前景理論交易者都很“聰明”，能夠不斷的增加績優(yōu)股的持有量，，同時減少虧損股的持有量。而隨機交易者則不能做到這一點。另外前景理論交易者比基礎(chǔ)交易者能夠做的更好，日均收益率更高，方差更小。最后比較單股票市場和多股票市場的差異，發(fā)現(xiàn)投資者在單股票市場上有可能比多股票市場收益率均值高，但要承擔更大的風(fēng)險。
[Abstract]:The research on behavioral finance and investment behavior based on Agent is a hot topic in current economics. It is found that most of the current models are single risk assets and most of the investor Agent uses the expected utility theory. In view of this, this paper introduces the prospect theory to establish a multi-stock continuous two-way auction artificial financial market (artificial market) based on Agent. To study the emergence of market from the bottom up, traders' strategies, single stock and long stock market differences. This paper focuses on the use of Markowitz portfolio theory and the single psychological account behavioral portfolio theory to establish the labor market. In this artificial market, the prospect theory is used to describe the psychological utility of the change of wealth, and the behavioral portfolio theory is used to carry out the portfolio investment in the multi-stock market. Base traders use expected utility theory to describe the utility of wealth, use Markowitz portfolio theory to carry out portfolio investment in multi-stock market, and stochastic traders' price forecasting and order quantity determination are both random. There is also no specific portfolio in the long stock market. The liquidation mechanism adopts the form of order book to form the market price. The artificial market simulation platform is realized by using Anylogic software. The simulation results show that the artificial market is effective, the market price is fluctuating and the yield is non-normal. And all kinds of traders overall wealth changes in line with the subjective feelings. On this basis, a comparative simulation experiment of trading strategies of multi-stock artificial market traders is carried out. It is found that both basic traders and foreground theory traders are "smart" and can continuously increase their holdings of high-grade shares. At the same time reduce the holdings of loss-making stocks. Random traders can't do that. In addition, the foreground theory trader can do better than the basic trader, the daily average yield is higher, the variance is smaller. Finally, comparing the differences between the single stock market and the multi-stock market, it is found that the average yield of investors in the single stock market may be higher than that in the multi-stock market, but they have to bear more risks.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F713.359;F830.91;TP391.9

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