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題名 A heterogeneous artificial stock market model can benefit people against another financial crisis 作者 Yang, Haijun
陳樹衡
Chen, Shuheng貢獻者 經濟系 日期 2018 上傳時間 13-Sep-2018 17:58:54 (UTC+8) 摘要 This paper presents results of an artificial stock market and tries to make it more consistent with the statistical features of real stock data. Based on the SFI-ASM, a novel model is proposed to make agents more close to the real world. Agents are divided into four kinds in terms of different learning speeds, strategy-sizes, utility functions, and level of intelligence; and a crucial parameter has been found to ensure system stability. So, some parameters are appended to make the model which contains zero-intelligent and less-intelligent agents run steadily. Moreover, considering real stock markets change violently due to the financial crisis; the real stock markets are divided into two segments, before the financial crisis and after it. The optimal modified model before the financial crisis fails to replicate the statistical features of the real market after the financial crisis. Then, the optimal model after the financial crisis is shown. The experiments indicate that the optimal model after the financial crisis is able to replicate several of real market phenomena, including the first-order autocorrelation, kurtosis, standard deviation of yield series and first-order autocorrelation of yield square. We point out that there is a structural change in stock markets after the financial crisis, which can benefit people forecast the financial crisis. 關聯 PLoS ONE 13(6), e0197935 資料類型 article DOI https://doi.org/10.1371/journal.pone.0197935 dc.contributor 經濟系 dc.creator (作者) Yang, Haijun en_US dc.creator (作者) 陳樹衡 zh_TW dc.creator (作者) Chen, Shuheng en_US dc.date (日期) 2018 dc.date.accessioned 13-Sep-2018 17:58:54 (UTC+8) - dc.date.available 13-Sep-2018 17:58:54 (UTC+8) - dc.date.issued (上傳時間) 13-Sep-2018 17:58:54 (UTC+8) - dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/120087 - dc.description.abstract (摘要) This paper presents results of an artificial stock market and tries to make it more consistent with the statistical features of real stock data. Based on the SFI-ASM, a novel model is proposed to make agents more close to the real world. Agents are divided into four kinds in terms of different learning speeds, strategy-sizes, utility functions, and level of intelligence; and a crucial parameter has been found to ensure system stability. So, some parameters are appended to make the model which contains zero-intelligent and less-intelligent agents run steadily. Moreover, considering real stock markets change violently due to the financial crisis; the real stock markets are divided into two segments, before the financial crisis and after it. The optimal modified model before the financial crisis fails to replicate the statistical features of the real market after the financial crisis. Then, the optimal model after the financial crisis is shown. The experiments indicate that the optimal model after the financial crisis is able to replicate several of real market phenomena, including the first-order autocorrelation, kurtosis, standard deviation of yield series and first-order autocorrelation of yield square. We point out that there is a structural change in stock markets after the financial crisis, which can benefit people forecast the financial crisis. en_US dc.format.extent 5431013 bytes - dc.format.mimetype application/pdf - dc.relation (關聯) PLoS ONE 13(6), e0197935 dc.title (題名) A heterogeneous artificial stock market model can benefit people against another financial crisis en_US dc.type (資料類型) article dc.identifier.doi (DOI) 10.1371/journal.pone.0197935 dc.doi.uri (DOI) https://doi.org/10.1371/journal.pone.0197935
