摘要
为了研究投资者羊群行为产生的内在机理,利用多Agent建模仿真方法构建了基于无标度网络投资者关系的人工股市模型;定义了基础价值投资者、噪声交易者、投机者以及趋势策略交易者四类投资者,每类投资者按其特定投资策略进行交易的同时还受周围邻居的影响,这样投资者之间将产生相互模仿的羊群行为。仿真实验结果表明,人工股市中总的羊群行为水平与市场收益率波动性呈现较为明显的正相关关系,四类投资者羊群行为水平存在较为明显的差异。
To study the mechanism of herd behavior, an artificial stock market multi-agents model was established based on a scale free network investor relationship structure. Four kinds of investors were defined, which are fundamentalists, noise traders, speculators, and trend followers. Investors made a transaction according to their own specific investment strategy, and were meanwhile influenced from own neighbors, so the herd behavior came into being among these investors. The simulation results show that there is a positive relationship between the total herd behavior level of investors and the volatility of returns, and a significant difference between herding levels for four types of investors.
出处
《系统仿真学报》
CAS
CSCD
北大核心
2016年第11期2655-2662,共8页
Journal of System Simulation
关键词
仿真
羊群行为
人工股票市场
无标度网络
simulation
herd behavior
artificial stock market
scale free network
