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利用理论分析和计算机仿真相结合的方法研究一个随机多主体的股市模型,理论分析得到基础价值均衡、非基础价值均衡、周期和混沌四种市场形态的典型参数设置,基于多主体的计算机仿真产生对应参数的价格序列.对此数据的统计分析发现:股市的所有市场形态都呈现收益率分布和波动时间依赖的标度行为,其中基础价值均衡形态下收益率累积分布指数和波动时间依赖的自相似指数最大,非基础价值均衡形态下两指数最小,周期和混沌形态下居中.
A stochastic multi-agent stock market model is studied by using a combination of theoretical analysis and computer simulation. The theoretical analysis shows the typical parameter settings of the four market forms of basic value equilibrium, non-basic value equilibrium, periodicity and chaos. Computer simulation based on multi-agent Corresponding to the price sequence of the parameters.Statistical analysis of this data shows that: all the stock market patterns are shown in the distribution of returns and volatility-dependent scale behavior, in which the basic value of the cumulative rate of return under the form of cumulative distribution of volatility and time-dependent The similarity index is the largest, and the two indices are the least under the non-basic value equilibrium and the middle under the periodic and chaotic forms.