English  |  正體中文  |  简体中文  |  Post-Print筆數 : 11 |  Items with full text/Total items : 89327/119107 (75%)
Visitors : 23841224      Online Users : 165
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/35768


    Title: 有限理性與市場微結構:以代理人基雙方喊價市場為主之個案分析
    Authors: 曾仁傑
    Zeng, Ren Jie
    Contributors: 陳樹衡
    Chen, Shu Heng
    曾仁傑
    Zeng, Ren Jie
    Keywords: 個體行為
    策略
    策略演化
    理性程度
    群體策略大小
    GP
    Multiple-Case
    Date: 2006
    Issue Date: 2009-09-18 15:58:25 (UTC+8)
    Abstract: 在代理人基計算經濟學的研究領域中,有限理性與市場之間的相互關係已有相當多的討論,主要研究範疇是在理性程度高低對市場表現的影響,較少是針對理性程度與個體行為的研究。而且代理人基計算經濟學的本質之一,是在於個體所展現的行為,然而卻顯少看到對代理人行為的深入探討,尤其是因不同理性程度所造成的行為差異。

    對於這樣的現象,本文首先提出三個疑問:第一、為何要探討個體的行為?第二、該如何研究個體的行為?第三、哪一種計算智慧工具或演算法才能合理表達個體的有限理性及行為?藉由市場設計觀點及真實市場例子,我們說明了個體行為在市場所扮演的角色和重要性。並透過多重個案的設計來分析討論不同市場型態與不同理性程度對個體行為所造成的影響。同時,透過 GP 的適應性演化運作方式及特性來建構並合理表達代理人的策略化喊價和學習行為。

    因此,本文在 Chen and Tai (2003) 的雙方喊價市場架構下,透過分組模擬實驗與多重個案設計,探討增加代理人理性程度對市場效率及交易者策略行為的影響,而主要的核心是著重在深入探索代理人如何演化以及與對手如何共演化其自身的策略行為,還有因不同理性程度所表現出的行為差異。並藉由變動 GP 代理人群體策略大小來表達理性程度高低。對於理性程度與個體行為的探討分成二階段設計來進行:第一階段是針對個人的策略學習行為及因理性程度增加所表現的行為改變,並以第一階段的分析結果為基礎,第二階段進入兩位買方交易者的策略共演化行為,以及雙方理性程度同時增加所展現的策略互動行為。

    在第一階段的分析討論中,可以清楚觀察到交易者的學習行為及得到一些策略的共同特性,並且藉由這些特性能了解交易者策略使用背後所隱含的意義及理由,還有觀察到交易者因理性程度增加而進步的學習過程。然而在第二階段的分析討論中,分別採用了直接的策略分析與間接的利潤變化狀態來探討雙方的共演化行為。但所得的分析結果不再是像是第一階段那麼清晰,不過還是能從各多重個案的分析,歸納出一些雙方的互動模式。

    最後,藉由 GP 演算法來進行代理人基的建模及模擬實驗與本文所建構的分析策略之結合,可發現一些關於個體行為的知識: GP 策略的共同特性,以及雙方的策略互動行為,還有理性程度對個體行為所造成的影響。同時,也能清楚認知到分析個體行為所會遇到的限制和問題。並確實讓我們對個體行為之研究有更進一步的了解與認識。
    Reference: 中文部分:
    池秉聰 (民90) 。人工雙方喊價市場之競價行為與市場績效的研究---遺傳規劃的應用。國立政治大學經濟研究所碩士論文,台北市。
    沃德羅普 (民85) 。複雜:走在秩序與混沌邊緣 (第二版) (齊若蘭譯)。臺北市 : 天下文化。(原著出版年: 1993年)
    約翰‧麥米蘭 (民91) 。 新競爭時代 (初版) (羅耀宗譯)。台北市:時報文化。(原著出版年: 2002年)
    郭子文 (民94) 。投資訊號之演化性辨識:機制設計的研究與應用,國立政治大學經濟研究所博士論文,台北市。
    陳樹衡與池秉聰 (民95) 。自動化創新管理:演化計算方法的應用。科技管理學刑, 11(2), 97-126。
    張娟華 (民90) 。社會、文化與自我:家庭托育的個案分析。南華大學社會學研究所碩士論文,嘉義縣。
    樊沁萍 (民83年12月9日) 。《特別報導》:檢驗經濟學研究工具---諾斯博士演講有感。中央研究院週報,第509期。
    戴中擎 (民90) 。代理人基雙方喊價市場在平行演化下的模擬與分析。國立政治大學經濟研究所碩士論文,台北市。
    英文部分:
    Arthur, W.B. (1994). Inductive reasoning and bounded reationality. American Economic Review, 84, 406-411.
    Andrew, M. and Prager, R. (1994). Genetic programming for the acquisition of double auction market strategies.
    In Kinnear, K. (Ed.), Advances In Genetic Programming. Cambridge, MA: MIT Press, 355-368.
    Arifovic, J. (2001). Performance of rational and boundedly rational agents in a model with persistent exchange
    rate volatility. Macroeconomic Dynamics, 5(2), 204-224.
    Brown-Kruse, J.L. (1991). Contestability in the presence of an alternative market: An experimental examination.
    Rand Journal of Economics, 22, 136-147.
    Brewer, P.J., Huang, M., Nelson, B. and Plott, C.R. (2002). On the behavioral foundations of the law of supply and demand:
    Human convergence and robot randomness. Experimental Economics, 5(3), 179-208.
    Brenner, T. (2006). Agent learning representation: Advice on modelling economic learning.
    In L. Tesfatsion and K.L. Judd (Eds.), Handbook of Computational Economics,
    Vol. 2: Agent-Based Computational Economics. Amsterdam: North-Holland/Elsevier, Chap. 18, 895-947.
    Coursey, D., Issac, R. M., Luke, M. and Smith, V. L. (1984). Market contestability in the presence of sunk (entry) costs.
    Rand Journal of Economics, 15, 69-84.
    Cliff, D. and Bruten, J. (1997). {Minimal-intelligence agents for bargaining behaviors in market-based environments.
    HP Technical Report, HP-97-91, 1997.
    Chen, S.-H. (2001a). Evolving bargaining strategies with genetic programming: An overview of AIE-DA ver. 2, part 1.
    In B. Verma, A. Namatame, X. Yao, H. Selvaraj, A. de Carvalho, and A. Ohuchi (Eds.),
    Proceedings of Fourth International Conference on Computational Intelligence and Multimedia Applications
    (ICCIMA 2001). Yokusika City, Japan, Oct. 30 - Nov. 1, IEEE Computer Society Press, 48-54.
    Chen, S.-H. (2001b). On the relevance of genetic programming in evolutionary economics. In K. Aruka (Ed.),
    Evolutionary Controversy in Economics towards a New Method in Preference of Trans Discipline.
    Tokyo: Springer-Verlag, 135-150.
    Chen, S.-H. amd Yeh, C.-H. (1996). Genetic programming learning and the cobweb model.
    In Angeline, P.J. and Kinnear, K.E. Jr. (Eds.), Advances in Genetic Programming, Vol. 2.
    Cambridge, MA: MIT Press, 443-466.
    Chen, S.-H. and Tai, C.-C. (2003). Trading restrictions, price dynamics and allocative efficiency in double auction
    markets: Analysis based on agent-based modeling and simulations. Advances in Complex Systems, 6(3), 283-302.
    Chen, S.-H. and Tai, C.-C. (2006). On the selection of adaptive algorithms in ABM:
    A Computational-Equivalence approach. Computational Economics, Springer, 28(1), 51-69.
    Chen, S.-H. and Hung, Y.-C. (2007). Relative risk aversion and wealth dynamics.
    Information Sciences, 177(5), 1222-1229.
    Chen, S.-H., Chie, B.-T., and Tai, C.-C. (2001), Evolving bargaining strategies with genetic programming:
    An Overview of AIE-DA ver. 2, part 2. In B. Verma and A. Ohuchi (Eds.),
    Proceedings of Fourth International Conference on Computational Intelligence and Multimedia Applications
    (ICCIMA 2001). Yokusika City, Japan, Oct. 30 - Nov. 1, IEEE Computer Society Press, 55-60.
    Chen, S.-H., Duffy, J., Yeh, C.-H. (2002). Equilibrium selection via adaptation: Using genetic programming to
    model learning in a coordination game. The Electronic Journal of Evolutionary Modelling and Economic Dynamics,
    Num. 1002.
    Chen, S.-H., Liao, C.-C. and Chou P.-J. (2007). On the plausibility of sunspot equilibria: Simulations based on
    agent-based artificial stock markets. forthcoming in Journal of Economic Interaction and Coordination.
    Crockett, S., Spear, S. and Sunder, S. (2004). A simple decentralized institution for learning competitive equilibrium.
    working paper, Carnegie-Mellon and Yale Universities.
    Duffy, J. (2006). Agent-Based Models and Human Subject Experiments.
    In L. Tesfatsion and K.L. Judd (Eds.), Handbook of Computational Economics,
    Vol. 2: Agent-Based Computational Economics. Amsterdam: North-Holland/Elsevier, Chap. 19, 949-1011.
    Duffy, J., Engle-Warnick, J. (2002). Using symbolic regression to infer strategies from experimental data.
    In Chen, S.H. (Ed.), Evolutionary Computation in Economics and Finance. New York: Physica-Verlag, 61-82.
    Duffy, J., \"{Unver, M.U. (2006). Asset price bubbles and crashes with near zero-intelligence traders.
    Economic Theory, 27, 537-563.
    Friedman D. (1993). The double auction institution: A survey. In D. Friedman and J. Rust (Eds.),
    The Double Auction Market: Institutions, Theories and Evidence, Addison-Weey, chap. 1, 3-25.
    Gode, D.K. and Sunder, S. (1993). Allocative efficiency of markets with zero-intelligence traders:
    Market as a partial substitute for individual rationality. Journal of Political Economy, 101, 119-137.
    Gode, D.K., Spear, S.E. and Sunder, S. (2000). Convergence of double auctions to competitive equilibrium in an
    Edgeworth box. working paper.
    Koza, J.R. (1992a). A genetic approach to econometric modelling.
    In Bourgine P. Walliser B (Eds.), Economics and Cognitive Science. Pergamon Press, 57-75.
    Koza, J.R. (1992b). Genetic Programming: On the Programming of Computers by Means of Natural Selection.
    Cambridge, MA: MIT Press.
    Koza, J.R. (1994). Genetic Programming II: Automatic Discovery of Reusable Programs. Cambridge, MA: MIT Press.
    Krishna, V. and Ramesh, V.C. (1998). Intelligent agents for negotiations in market games, part 2, application.
    IEEE Transactions on Power Systems, 13(3), 1109-1114.
    Lucas, R. (1986). Adaptive behaviour and economic theory. In R.M Hogarth and M.W. Reder (Eds),
    Rational choice: the contrast between economics and psychology. University of Chicago Press, 217-242.
    Marks, R. (2006). Market design using agent-based models.
    In L. Tesfatsion and K.L. Judd (Eds.), Handbook of Computational Economics,
    Vol. 2: Agent-Based Computational Economics. Amsterdam: North-Holland/Elsevier, Chap. 27, 1339-1380.
    Manson, S.M. (2006). Bounded rationality in agent-based models: Experiments with evolutionary programs.
    International Journal of Geographic Information Science, 20, 991-1012.
    Mackie-Mason, J. and Wellman, M. (2006). Automated markets and trading agents.
    In L. Tesfatsion and K.L. Judd (Eds.), Handbook of Computational Economics,
    Vol. 2: Agent-Based Computational Economics. Amsterdam: North-Holland/Elsevier, Chap. 28, 1381-1431.
    Olsson, L. (2000). Evolution of bargaining strategies for double auction markets using genetic programming.
    Conference of Computational Intelligence in Finance and Economics,
    Joint International Conference of Information Science. Atlantic City 2000.
    Rust, J., Miller, J and Palmer, R. (1993). Behavior of trading automata in a computerized double auction market.
    In D. Friedman and J. Rust (Eds.), The Double Auction Market: Institutions, Theories and Evidence,
    Addison-Weey, Chap. 6, 155-198.
    Roth, A.E. and A. Ockenfels (2002). Last-minute bidding and the rules for ending second-price auctions:
    evidence from eBay and amazon auctions on the internet. American Economic Review, 92, 1093-1103.
    Stake, R.E. (1978). The case study method in social inquiry. In N.K. Denzin and Y.S. Lincoln (Eds.). (2001),
    The American Tradition in Qualitative Research, Vol. 2. London; Thousand Oaks: SAGE .
    Smith, V.L., Suchanek, G.L., Williams, A.W. (1988). Bubbles, crashes, and endogenous expectations in experimental
    spot asset markets. Econometrica, 56, 1119-1151.
    Simon, Herbert A. (1997). Models of Bounded Rationality, Vol. 3. Cambridge, MA: MIT Press.
    Sadrieh, A. (1998). The Alternating Double Auction Market: A Game Theoretic and Experimental Investigation.
    Lecture Notes in Economics and Mathematical Systems, Vol. 466. Berlin: Springer.
    Van Boening, M.V. and Wilcox, N.T. (1996). Avoidable cost: Ride a double auction roller coaster.
    American Economic Review, 86, 461-477.
    Walia, V., Byde, A. and Cliff, D. (2003). Evolving market design in zero-intelligence Trader Markets.
    In Proceedings of IEEE International Conference on E-Commerce (IEEE-CEC03), Newport Beach, CA, USA., 157-164.
    Yin, R.K. (2003). Case Study Research: Design and Methods, 3rd ed., Vol. 5 of Applied Social
    Research Methods Series. Thousand Oaks, Calif. : Sage Publications.
    Description: 碩士
    國立政治大學
    經濟研究所
    93258038
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093258038
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

    Files in This Item:

    File Description SizeFormat
    25803801.pdf511KbAdobe PDF772View/Open
    25803802.pdf648KbAdobe PDF677View/Open
    25803803.pdf659KbAdobe PDF724View/Open
    25803804.pdf680KbAdobe PDF658View/Open
    25803805.pdf803KbAdobe PDF948View/Open
    25803806.pdf997KbAdobe PDF734View/Open
    25803807.pdf794KbAdobe PDF790View/Open
    25803808.pdf1362KbAdobe PDF698View/Open
    25803809.pdf738KbAdobe PDF673View/Open
    25803810.pdf1377KbAdobe PDF695View/Open
    25803811.pdf711KbAdobe PDF744View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback