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    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。
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    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:[Department of Economics] Theses

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