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Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/35796
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dc.contributor.advisor陳樹衡zh_TW
dc.contributor.advisorChen, Shu Hengen_US
dc.contributor.author戴中擎zh_TW
dc.contributor.authorTai, Chung Chingen_US
dc.creator戴中擎zh_TW
dc.creatorTai, Chung Chingen_US
dc.date2007en_US
dc.date.accessioned2009-09-18T08:04:01Z-
dc.date.available2009-09-18T08:04:01Z-
dc.date.issued2009-09-18T08:04:01Z-
dc.identifierG0902585032en_US
dc.identifier.urihttps://nccur.lib.nccu.edu.tw/handle/140.119/35796-
dc.description博士zh_TW
dc.description國立政治大學zh_TW
dc.description經濟研究所zh_TW
dc.description90258503zh_TW
dc.description96zh_TW
dc.description.abstract因應電子化交易興起而進行的一系列人機互動研究顯示, 縱使人類會透過學習而改善其表現, 電腦化的交易程式獲利能力還是遠勝於真人交易者之表現。本研究遂以遺傳規劃演算法作為學習型交易者之代表, 與一系列電腦化交易策略相競爭, 以探討學習的功效及其限制。\n\n本研究採用離散型雙方喊價機制, 摒除了計算能力所造成之決策時間差異所會帶來的影響, 亦排除掉人類情緒、預期、相關知識不足等可能因子, 在計算能力對等的情況下, 單純地來評估學習與理性設計策略的結果。並且首次嘗試將影響學習至鉅的智商因子帶入模型之中,\n\n實驗結果顯示學習具有相當的能力, 即使是在對環境缺乏認識的情況下, 隨著時間的經過其表現最終可凌駕理性設計的策略之上, 然而學習所需的時間是學習型交易者的一大弱點。同時, 本研究也顯示對於以遺傳規劃建構的學習型交易者而言, 其虛擬智商的參數愈高, 學習的效果也愈佳。此研究因此可作為未來在代理人基經濟學模型中, 更深入地探討智商水準不同所造成之行為差異的基礎。zh_TW
dc.description.abstractThe study of a series of human-agent interactions as well as computerized trading tournaments in double auction markets has exhibited a general superiority of computerized trading strategies over learning agents. The ineffectiveness\nof learning motivates the study of learning versus designed trading agents in this research. We therefore initiates a series of experiments to test the capability of learning GP agents and rationally-designed trading strategies. The results shows that with the cost of time, eventually learning agents can beat all other trading strategies.\n\nAt the same time, the notion of intelligence is introduced into the model to investigate the influence of individual intelligence on learning ability. We utilize the population size of the GP trader as the proxy variable of IQ which\nis a measure of general intelligence. The results show that individuals with higher intelligence can perform better than those with lower intelligence, which manifests its importance discovered in Psychological research.en_US
dc.description.tableofcontents誌謝. . . . . . . . . . . . . . . . . . . . . . . . . . . . . i\n摘要. . . . . . . . . . . . . . . . . . . . . . . . . . . . . iii\n\n1 緒論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1\n　1.1 學習行為與軟體代理人. . . . . . . . . . . . . . . . . . . 1\n　1.2 智商與學習. . . . . . . . . . . . . . . . . . . . . . . . 3\n　1.3 本文架構. . . . . . . . . . . . . . . . . . . . . . . . . 6\n\n2 文獻回顧. . . . . . . . . . . . . . . . . . . . . . . . . . . 9\n　2.1 人類與軟體代理人之競賽. . . . . . . . . . . . . . . . . . 9\n　　　2.1.1 Das et al. (2001) 的雙方喊價市場研究. . . . . . . . 9\n　　　2.1.2 Taniguchi et al. (2004) 的期貨市場交易研究. . . . . 12\n　　　2.1.3 Grossklags and Schmidt (2006) 的期貨市場研究. . . . 14\n　　　2.1.4 小結. . . . . . . . . . . . . . . . . . . . . . . . 18\n　2.2 Santa Fe 雙方喊價市場競賽. . . . . . . . . . . . . . .. . 19\n　　　2.2.1 實驗設計. . . . . . . . . . . . . . . . . . . . . . 19\n　　　2.2.2 策略分類. . . . . . . . . . . . . . . . . . . . . . 21\n　　　2.2.3 結果與探討. . . . . . . . . . . . . . . . . . . . . 24\n　2.3 智商與代理人基建模. . . . . . . . . . . . . . . . . . . . 26\n　　　2.3.1 經濟建模: 由經濟人邁向智人. . . . . . . . . . . . . 26\n　　　2.3.2 智商與學習行為的關聯. . . . . . . . . . . . . . . . 28\n　2.4 研究議題. . . . . . . . . . . . . . . . . . . . . . . . . 31\n\n3 研究方法與實驗設計. . . . . . . . . . . . . . . . . . . . . . 33\n　3.1 AIE-DA 雙方喊價市場平台. . . . . . .. . . . . . . . . . . 33\n　　　3.1.1 市場結構. . . . . . . . . . . . . . . . . . . . . . 33\n　　　3.1.2 保留價格與籌碼. . . . . . . . . . . . . . . . . . . 34\n　　　3.1.3 喊價活動流程. . . . . . . . . . . . . . . . . . . . 36\n　3.2 研究問題與假設. . . . . . . . . . . . . . . . . . . . . . 39\n　　　3.2.1 學習與設計. . . . . . . . . . . . . . . . . . . . . 39\n　　　3.2.2 智商與學習. . . . . . . . . . . . . . . . . . . . . 43\n　　　3.2.3 研究假設. . . . . . . . . . . . . . . . . . . . . . 44\n　3.3 實驗設計. . . . . . . . . . . . . . . . . . . . . . . . . 47\n　　　3.3.1 GP 交易者參數. . . . . . . . .. . . . . . . . . . . 47\n　　　3.3.2 實驗參數. . . . . . . . . . . . . . . . . . . . . . 48\n\n4 交易策略. . . . . . . . . . . . . . . . . . . . . . . . . . . 53\n　4.1 基本名詞介紹. . . . . . . . . . . . . . . . . . . . . . . 53\n　4.2 文獻策略. . . . . . . . . . . . . . . . . . . . . . . . . 56\n　　　4.2.1 Truth Teller 交易策略. . . . . . .. . . . . . . . . 56\n　　　4.2.2 Skeleton 交易策略. . . . . . . . .. . . . . . . . . 56\n　　　4.2.3 Kaplan 交易策略. . . . . . . . . .. . . . . . . . . 58\n　　　4.2.4 Ringuette 交易策略. . . . . . . . . . . . . . . . . 59\n　　　4.2.5 ZIC 交易策略. . . . . . . . . . . . . . . . . . . . 61\n　　　4.2.6 Markup 交易策略. . . . . . . . . .. . . . . . . . . 62\n　　　4.2.7 ZIP 交易策略. . . . . . . . . . . . . . . . . . . . 63\n　　　4.2.8 Easley-Ledyard 交易策略. . . . . .. . . . . . . . . 65\n　　　4.2.9 Gjerstad-Dickhaut 交易策略. . . . . . . . . . . . . 67\n　　　4.2.10 BGAN 交易策略. . . . . . . . . . . . . . . . . . . 68\n　　　4.2.11 Empirical 交易策略. . . . . . . . . . . . . . . . 71\n　　　4.2.12 文獻策略之比較. . . . . . . . . . . . . . . . . . 72\n　4.3 Genetic Programming 交易者. . . . . . . . . . . . . . . . 74\n　　　4.3.1 基本概念. . . . . . . . . . . . . . . . . . . . . . 74\n　　　4.3.2 AIE-DA GP 交易者. . . . . . . . . . . . . . . . . . 79\n　4.4 策略分類. . . . . . . . . . . . . . . . . . . . . . . . . 82\n\n5 策略表現分析. . . . . . . . . . . . . . . . . . . . . . . . . 85\n　5.1 衡量標準. . . . . . . . . . . . . . . . . . . . . . . . . 85\n　5.2 文獻策略之基本表現與特性. . . . . . . . . . . . . . . . . 88\n　　　5.2.1 文獻策略的獲利排名. . . . . . . . . . . . . . . . . 89\n　　　5.2.2 固定型策略與調適型策略之比較. . . . . . . . . . . . 92\n　　　5.2.3 獲利波動程度. . . . . . . . . . . . . . . . . . . . 93\n　　　5.2.4 平均財富與財富變異. . . . . . . . . . . . . . . . . 95\n　　　5.2.5 效率前緣. . . . . . . . . . . . . . . . . . . . . . 98\n　5.3 學習性個體. . . . . . . . . . . . . . . . . . . . . . . . 101\n　　　5.3.1 GP 之學習能力. . . . . . . . . . . . . . . . . . . 104\n　　　5.3.2 No Free Lunch 檢驗. . . . . . . . . . . . . . . . . 108\n　　　5.3.3 策略複雜度. . . . . . . . . . . . . . . . . . . . . 114\n　5.4 動態市場. . . . . . . . . . . . . . . . . . . . . . . . . 118\n　5.5 總結. . . . . . . . . . . . . . . . . . . . . . . . . . . 123\n\n6 智商與學習效果. . . . . . . . . . . . . . . . . . . . . . . . 127\n　6.1 智商與學習成果. . . . . . . . . . . . . . . . . . . . . . 127\n　　　6.1.1 更為完整的智商抽樣. . . . . . . . . . . . . . . . . 130\n　　　6.1.2 智商優勢與學習努力. . . . . . . . . . . . . . . . . 136\n　6.2 動態環境中的學習能力. . . . . . . . . . . . . . . . . . . 140\n　6.3 總結. . . . . . . . . . . . . . . . . . . . . . . . . . . 145\n\n7 結論與未來研究方向. . . . . . . . . . . . . . . . . . . . . . 147\n　7.1 未來研究方向. . . . . . . . . . . . . . . . . . . . . . . 151\n\n參考文獻. . . . . . . . . . . . . . . . . . . . . . . . . . . . 153zh_TW
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dc.source.urihttp://thesis.lib.nccu.edu.tw/record/#G0902585032en_US
dc.subject代理人基計算經濟模型zh_TW
dc.subject雙方喊價市場zh_TW
dc.subject交易策略zh_TW
dc.subject學習zh_TW
dc.subject智商zh_TW
dc.subject異質性個體zh_TW
dc.subjectAgent-based Computational Economic Modelsen_US
dc.subjectDouble Auction Marketsen_US
dc.subjectTrading Strategiesen_US
dc.subjectLearningen_US
dc.subjectIQen_US
dc.subjectHeterogeneous Agentsen_US
dc.title學習行為與軟體交易策略之比較：個體心智能力對學習行為之影響zh_TW
dc.typethesisen
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