论文部分内容阅读
本文构建了异质Agent模仿投资决策的股市模型,Agent通过对其周围Agent投资策信号的综合,依照设定的规则进行股票的买卖,进而形成股票价格序列。结果表明,股市中Agent间的相互模仿能够产生羊群行为,表明模仿行为是羊群行为产生的机理之一;收益波动与羊群行为存在较强的正相关性,说明羊群行为会增加市场的波动;买入羊群行为与收益率呈正相关,而卖出羊群行为与收益率呈负相关;适当的自信值时羊群行为达到最大,过度自信和自卑都会降低羊群行为。
In this paper, a heterogeneous Agent model is constructed to imitate the investment decision-making in the stock market. Agent synthesizes the investment signals around Agent and trades the stock according to the set rules to form the stock price series. The results show that mutual imitation in the stock market can produce herd behavior, indicating that imitation behavior is one of the mechanisms of herd behavior. There is a strong positive correlation between income volatility and herding behavior, indicating that the herd behavior will increase the market . The behavior of buying herd was positively correlated with the rate of return, but the behavior of herding sold was negatively correlated with the rate of return. The herd behavior was maximized with appropriate confidence, and overconfidence and inferiority would reduce herd behavior.