摘要
本文提出了一个带有双重反馈作用的异质herding模型,该模型假设金融市场是由不同大小和意愿的经纪人集团组成,两个不同集团发生交易或合并的成功率依赖上一次交易的市场波动程度,交易后亏损方发生翻转和分化的概率跟亏损程度有关。我们认为翻转和分化的概率也跟经纪人集团对市场的信念有关。为此,我们给经纪人集团一个参数k去表示他们对市场的信念程度。数值计算表明在我们的模型中动力学行为明显随k变化而变化,即信念能调节市场的演化。
We propose a heterogeneous dynamic herding model with dual feedback interactions, which suggests that the financial markets consist of agent clusters with different sizes and tendencies, in which the ratio of successful exchange or merger depends on the fluctuating degree of the last action and the probability of the dissolution and reversal depends on the lost degree after an exchange. We consider that the probability of the dissolution and reversal also depend on the belief of the agent cluster to the market. Thus, we give each agent cluster a parameter k to denote the behef - degree. The numerical calculation shows that the dynamic behaviors are different obviously when k varies, namely, the belief can adjust the market evolution in our model.
出处
《中国软科学》
CSSCI
北大核心
2010年第4期164-168,共5页
China Soft Science
基金
温州市科技计划项目(R20080059):"温州民营企业结构
布局及其演化的动力学研究"
