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| 预测传播结构与人工金融市场的易变性 | |
| 引用本文： | 丁竞渊,李青,李桢. 预测传播结构与人工金融市场的易变性[J]. 复杂系统与复杂性科学, 2009, 6(3): 50-56 |
| 作者姓名： | 丁竞渊 李青 李桢 |
| 作者单位： | 1. 上海大学计算机工程与科学学院,上海 200072;上海金融学院信息管理系,上海 201209 2. 上海大学计算机工程与科学学院,上海,200072 3. 东海证券有限责任公司衍生产品部,上海,200122 |
| 基金项目： | 国家自然科学基金，上海高校选拔培养优秀青年教师科研专项基金 |
| 摘 要： | 为了探索价格预测信息传播动力结构与市场价格波动特征之间的关系,建立了一个基于元胞自动机的人工金融市场模型.在模型中,引入了动态有向图来表征异质投资者之间信息传播的邻居关系网络;投资者个体在邻居影响下进行价格预测与投资决策,从而形成市场价格.通过对仿真交易价格时间序列的R/S分析,发现邻居关系网络结构对于投资者预测的同质化有重要作用;投资者预测同质化倾向强的资本市场时,价格时间序列的易变性随之增强,市场价格趋于不稳定. |
| 关 键 词： | 人工金融市场 元胞自动机 R/S分析 |
Spread Structure of Predication and Anti-Durative of the Artificial Financial Market |
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| DING Jing-yuan,LI Qing,LI Zhen. Spread Structure of Predication and Anti-Durative of the Artificial Financial Market[J]. , 2009, 6(3): 50-56 | |
| Authors: | DING Jing-yuan LI Qing LI Zhen |
| Affiliation: | 1.College of Computer Science and Engineering;Shanghai University;Shanghai 200072;China;2.Department of Information Management;Shanghai Finance University;Shanghai 201209;3.Derivatives Department;Donghai Securities Co.Ltd;Shanghai 200012;China |
| Abstract: | In order to study the relationship between price fluctuation and transmission dynamic structure of the predictions,this article presents an artificial stock market model based on cellular automaton.In this model,dynamic directed graph was utilized to describe neighborhood networks of predication transmission in heterogeneous investors.Individual investors predict market price and make investment decision,which determine market price,under the influences of their neighbors.By R/S analysis of the time series ... |
| Keywords: | artificial financial market cellular automaton R/S analysis |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |