本文選題：計算實驗金融　切入點：多資產(chǎn)　出處：《南京大學》2013年碩士論文　論文類型：學位論文

【摘要】：目前大多數(shù)基于計算實驗的金融市場研究都是假設市場中只有一只風險資產(chǎn),而且往往不考慮投資者之間的信息交互作用。然而隨著計算機技術的發(fā)展,網(wǎng)路時代的到來,信息的載體不斷豐富,人與人之間的信息交流日益密切,不同資產(chǎn)之間聯(lián)動的可能性也隨之增加。因此,研究信息交互模式下多資產(chǎn)市場中異質(zhì)投資者的財富動態(tài),不僅可以給投資者提供策略指導,也可以給監(jiān)管部門的制度制定和政策調(diào)控提供參考。 本文運用計算實驗金融的方法,建立了一個可以包含任意多只資產(chǎn)的人工股市,市場中的投資者可以相互交流信息。投資者有的看中資產(chǎn)的基本面,有的則關注資產(chǎn)的歷史價格走勢;有的投資者一直關注股市,而有的則是有限注意。我們將其劃分為四組,即基礎盯市型、基礎有限注意型、技術盯市型和技術有限注意型,考察這四組投資者的財富動態(tài)和資產(chǎn)的價格走勢。模擬結(jié)果發(fā)現(xiàn)：當基礎型與技術型人數(shù)接近時,基礎型投資者的影響力更大,他們對市場起到了很好的穩(wěn)定作用。而且無論市場是否平穩(wěn),基礎型投資者都獲得了優(yōu)于技術型的財富表現(xiàn)。 本文的主要創(chuàng)新點在于：第一,多資產(chǎn)的計算實驗金融研究是目前國內(nèi)學術研究的一大空缺,即使在國外也很少見,本文的研究豐富了多資產(chǎn)金融市場的計算實驗研究成果。第二,有些計算實驗模型雖然也是針對多資產(chǎn)金融市場的,但是模型中往往加入了非常嚴格的市場限制或假設條件,降低了研究成果的可應用性。本文的模型可以包含任意數(shù)量的資產(chǎn),并且可以靈活地設定投資者之間的信息交互模式,適用范圍比較廣。
[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.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F830.9;F224

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