基于小世界网络的协同人工股市模型

以小世界人际关系网络为基础,采用多主体方法构建了一个投资者之间相互交流和模仿的人工股市模型.模型中,羊群行为会造成投资者对信息过度反应,从而使市场表现为过度波动;而当投资者对股票的注意力也随股票价格的变动而改变时,市场涌现波动丛集、泡沫和崩溃等典型事实,并且这些异象和典型事实对系统的大小具有鲁棒性.

Coherent Artificial Stock Market Model Based on Small World Networks

Based on the small-world relationship network,this paper constructs an artificial stock market model by muti-agent method,in which investors communicate and imitate each other.In the model,herding behavior is able to lead investors to over-react to the information,and the market presents excess volatility;When investors' attention also varied with the change of price,market emerges most of stylized facts,such as clustered volatility,bubbles and crashes.These anomalies and stylized facts are robust to the sy...