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政大機構典藏 > 社會科學學院 > 經濟學系 > 期刊論文 > Item 140.119/120087

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题名:	A heterogeneous artificial stock market model can benefit people against another financial crisis
作者:	Yang, Haijun 陳樹衡 Chen, Shuheng
贡献者:	經濟系
日期:	2018
上传时间:	2018-09-13 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
数据类型:	article
DOI 連結:	https://doi.org/10.1371/journal.pone.0197935
DOI:	10.1371/journal.pone.0197935
显示于类别:	[經濟學系] 期刊論文

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档案	描述	大小	格式	浏览次数
pone.0197935.pdf		5303Kb	Adobe PDF2	416	检视/开启

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