摘要
从投资者情绪演化角度揭示了其有限理性的内在作用机理,指出了Lux和Marchesi金融市场随机多Agent模型的局限性,基于Bass模型建立了投资者“情感”与“理性”竞争传染的演化模型。仿真实验表明,本研究较Lux和Marchesi模型更为逼近投资者真实的情绪演化过程。
From the view of investor sentiment evolution, this paper reveals the inherent mechanism of investor bounded rational phenomena, and points out the limitations of Lux and Marchesi′s stochastic multi-agent model of financial market. A competitive infective evolutionary model is also formed. The simulation experiment shows it′s superior to the traditional model in describing what is actually happening to investors′ sentiment.
出处
《管理评论》
2004年第12期19-23,共5页
Management Review
基金
国家软科学研究计划项目(2003DGS3B034)
航空基础科学基金项目(03J53074)
西北工业大学博士论文创新基金项目(CX200425)
