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題名 Agent-Based Computational Modeling of the Stock Price-Volume Relation
作者 陳樹衡;C.-C. Liao
Chen,Shu-Heng;Liao,Chung-Chih
貢獻者 政大經濟系
關鍵詞 Agent-based model;Artificial stock markets;Genetic programming;Granger causality test; Stock price–volume relation;Micro–macro relation
日期 2005-02
上傳時間 9-一月-2009 12:14:42 (UTC+8)
摘要 From the perspective of the agent-based model of stock markets, this paper examines the possible explanations for the presence of the causal relation between stock returns and trading volume. Using the agent-based approach, we find that the explanation for the presence of the stock price–volume relation may be more fundamental. Conventional devices such as information asymmetry, reaction asymmetry, noise traders or tax motives are not explicitly required. In fact, our simulation results show that the stock price–volume relation may be regarded as a generic property of a financial market, when it is correctly represented as an evolving decentralized system of autonomous interacting agents. One striking feature of agent-based models is the rich profile of agents` behavior. This paper makes use of the advantage and investigates the micro–macro relations within the market. In particular, we trace the evolution of agents` beliefs and examine their consistency with the observed aggregate market behavior. We argue that a full understanding of the price–volume relation cannot be accomplished unless the feedback relation between individual behavior at the bottom and aggregate phenomena at the top is well understood.
關聯 Information Sciences,170(1),75-100
資料類型 article
DOI http://dx.doi.org/10.1016/j.ins.2003.03.026
dc.contributor 政大經濟系-
dc.creator (作者) 陳樹衡;C.-C. Liaozh_TW
dc.creator (作者) Chen,Shu-Heng;Liao,Chung-Chih-
dc.date (日期) 2005-02en_US
dc.date.accessioned 9-一月-2009 12:14:42 (UTC+8)-
dc.date.available 9-一月-2009 12:14:42 (UTC+8)-
dc.date.issued (上傳時間) 9-一月-2009 12:14:42 (UTC+8)-
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/23248-
dc.description.abstract (摘要) From the perspective of the agent-based model of stock markets, this paper examines the possible explanations for the presence of the causal relation between stock returns and trading volume. Using the agent-based approach, we find that the explanation for the presence of the stock price–volume relation may be more fundamental. Conventional devices such as information asymmetry, reaction asymmetry, noise traders or tax motives are not explicitly required. In fact, our simulation results show that the stock price–volume relation may be regarded as a generic property of a financial market, when it is correctly represented as an evolving decentralized system of autonomous interacting agents. One striking feature of agent-based models is the rich profile of agents` behavior. This paper makes use of the advantage and investigates the micro–macro relations within the market. In particular, we trace the evolution of agents` beliefs and examine their consistency with the observed aggregate market behavior. We argue that a full understanding of the price–volume relation cannot be accomplished unless the feedback relation between individual behavior at the bottom and aggregate phenomena at the top is well understood.-
dc.format application/en_US
dc.language enen_US
dc.language en-USen_US
dc.language.iso en_US-
dc.relation (關聯) Information Sciences,170(1),75-100en_US
dc.subject (關鍵詞) Agent-based model;Artificial stock markets;Genetic programming;Granger causality test; Stock price–volume relation;Micro–macro relation-
dc.title (題名) Agent-Based Computational Modeling of the Stock Price-Volume Relationen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.ins.2003.03.026en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.ins.2003.03.026en_US