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有限理性、异质信念与商品期货价格波动 被引量：1

Bounded Rationality, Heterogeneous Beliefs and Commodity Futures Price Volatility
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摘要 本文构建了一个基于交易者异质信念的商品期货市场仿真模型,在控制外部信息对市场影响的前提下,研究交易者异质信念的演化对市场价格产生的影响.采用Brenner的随机信念学习模型能够刻画个体交易者的学习、模仿行为,改以往所采用的遗传算法等借鉴生物进化论思想的模型无法将宏观价格动态与个体行为相联系的不足.检验结果表明,仿真产生的期货价格时间序列具有高峰厚尾分布、波动聚集、长记忆性,与真实期货价格的统计特征一致的典型特征,验证了模型的有效性.结果表明,外部信息不是形成收益序列典型特征的原因,个体交易者通过学习发生的信念转换和交易者之间的相互影响是造成价格收益序列典型特征的根本原因.
作者 李锬 齐中英 雷莹
机构地区 哈尔滨工业大学管理学院
出处 《中国管理科学》 CSSCI 2007年第z1期268-274,共7页 Chinese Journal of Management Science
关键词 期货价格 异质信念 有限理性 波动聚集 长记忆性
分类号 TP391.9 [自动化与计算机技术—计算机应用技术]
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参考文献25

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二级参考文献61

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共引文献163

同被引文献15

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二级引证文献7

中国管理科学
2007年 第z1期

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