北京航空航天大学学报(社会科学版) ›› 2007, Vol. 20 ›› Issue (2): 14-17.

• 经济管理与社会发展研究 • 上一篇    下一篇

基于主体的计算金融学综述

马进胜, 邱菀华   

  1. 北京航空航天大学 经济管理学院, 北京 100083
  • 收稿日期:2006-04-03 出版日期:2007-06-25 发布日期:2010-10-15
  • 作者简介:马进胜(1972-),男,山西文水人,博士研究生,研究方 向为金融市场复杂适应系统建模仿真.
  • 基金资助:

    国家自然科学基金资助项目(70372011).

Introduction to Agent-based Computational Finance

MA Jin-sheng, QIU Wan-hua   

  1. School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100083, China
  • Received:2006-04-03 Online:2007-06-25 Published:2010-10-15

摘要:

基于主体的计算金融学将金融市场看作是复杂适应系统,采用基于主体的方法"自底向上" 地对个体投资者微观的相互作用导致市场宏观特性的涌现过程进行建模,并利用计算机进行 仿真,以从根源上探究金融市场的复杂动力学原理。这一新的研究范式,不但可以包容已有 的金融学理论,而且还可以产生更接近真实的仿真结果。论文介绍了其发展背景、研究思路 、研究内容、当前研究的不足及未来的发展方向等。

关键词: 主体, 计算金融学, 人工市场, 基于主体建模, 复杂适应系统

Abstract:

In agent-based computational finance (ACF), finance market is treated as a comp lex adaptive system and agent-based approach is used to bottom-up model the pr ocess where the micro interactions between individuals lead to macro features of market. The agent-based computational model is simulated on the computer to pr obe into the complex dynamics of finance market by the roots. As a new study pat tern, ACF not only contains the traditional finance theories, but its simulation results show statistic features similar to actual time series. This paper intro duces ACF's background, research course, current state and possible trends in th e future.

Key words: agent, computational finance, article market, agent -based modeling, complex adaptive system

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