Heterogeneous Gain Learning and the Dynamics of Asset Prices
Heterogeneous Gain Learning and the Dynamics of Asset Prices
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DOI：
10.2139/ssrn.1865990
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发表时间：
2011-05
期刊：
影响因子：
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通讯作者：
B. LeBaron
中科院分区：
文献类型：
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作者：
B. LeBaron
本文提出了一种新的基于代理的金融市场。它的设计足够简单，可以深入了解代理和宏观层面上正在发生的事情的性质和结构，但又足够丰富，可以进行许多有趣的进化实验。该模型由异构代理驱动，他们在设计投资组合策略时对过去的信息赋予不同的权重。它忠实地生成了资产市场的许多常见的风格化特征。它还对代理策略的动态以及它们如何导致市场不稳定产生了一些见解。
This paper presents a new agent-based financial market. It is designed to be both simple enough to gain insights into the nature and structure of what is going on at both the agent and macro levels, but remain rich enough to allow for many interesting evolutionary experiments. The model is driven by heterogeneous agents who put varying weights on past information as they design portfolio strategies. It faithfully generates many of the common stylized features of asset markets. It also yields some insights into the dynamics of agent strategies and how they lead to market instabilities.