异质投资者、噪声与金融市场波动的仿真研究

doi:10.3778/j.issn.1002-8331.2009.15.004

计算机工程与应用 ›› 2009, Vol. 45 ›› Issue (15): 11-14.DOI: 10.3778/j.issn.1002-8331.2009.15.004

异质投资者、噪声与金融市场波动的仿真研究

李红权^1,2

1.湖南师范大学商学院，长沙 410081
2.中国科学院数学与系统科学研究院，北京 100190

收稿日期:2009-02-06 修回日期:2009-03-10 出版日期:2009-05-21 发布日期:2009-05-21
通讯作者: 李红权

Heterogeneous investor，noise and financial market volatility：Simulation study from view of computational finance

LI Hong-quan^1,2

1.School of Business，Hunan Normal University，Changsha 410081，China
2.Academy of Mathematics and Systems Science，Chinese Academy of Sciences，Beijing 100190，China

Received:2009-02-06 Revised:2009-03-10 Online:2009-05-21 Published:2009-05-21
Contact: LI Hong-quan

摘要/Abstract

摘要： 提出了包涵噪声因素的非线性结构化人工金融市场模型，运用计算机仿真技术研究投资者的异质性、噪声和金融市场波动性的互动关系。结果证实投资者预期的异质性与相互影响可以导致市场的不稳定性与复杂动力学行为，模型能够产生真实金融市场的诸多特征性事实，而且人工金融市场的这些特征都是内生现象，是市场交易过程与投资者相互影响的结果。

关键词: 计算金融学, 仿真研究, 异质投资者, 市场波动

Abstract: This paper presents a new artificial stock market model which is a nonlinear structural model buffeted by dynamic noise，and then investigates the relationship within heterogeneity，noise and market volatility using computer simulation technology.The results show that heterogeneity in expectations and interactions among different type investors can lead to market instability and complicated dynamics.The model proposed in this paper is able to generate these stylized facts present in real markets，and all these interesting qualitative features arise endogenously from the trading process and the interactions of heterogeneous agents.

Key words: computational finance, simulation study, heterogeneous investor, market volatility

李红权^1,2. 异质投资者、噪声与金融市场波动的仿真研究[J]. 计算机工程与应用, 2009, 45(15): 11-14.

LI Hong-quan^1,2. Heterogeneous investor，noise and financial market volatility：Simulation study from view of computational finance[J]. Computer Engineering and Applications, 2009, 45(15): 11-14.

异质投资者、噪声与金融市场波动的仿真研究

Heterogeneous investor，noise and financial market volatility：Simulation study from view of computational finance

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