基于智能体的人工股票市场中社会网络的影响

IF 4.4 4区计算机科学 Q1 COMPUTER SCIENCE, INFORMATION SYSTEMS

Enterprise Information Systems Pub Date : 2021-12-01 DOI:10.1080/17517575.2021.2008514

Xiaoting Dai, Jie Zhang, Victor Chang

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引用次数: 2

摘要

摘要本文提出了一个基于智能体的人工股票市场来研究社会网络对金融市场的影响。它包含四种类型的交易者，他们的信息集和交易策略不同。人工智能的应用是在知情和不知情的交易者的行为和异质性。当信息是外生的，社会网络导致更高的波动性和交易量，更低的价格扭曲和买卖价差。当信息是内生的，影响是相反的。原因是社交网络损害了信息的生产，因为交易者倾向于依赖来自沟通的信息，而不是在信息上花费成本。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Impacts of social networks in an agent-based artificial stock market

ABSTRACT We propose an agent-based artificial stock market to investigate the influences of social networks on financial markets. It contains four types of traders whose information sets and trading strategies are different. The application of artificial intelligence is employed in informed and uninformed traders’behaviour and heterogeneity. When information is exogenous, social networks result in higher volatility and trading volume and lower price distortion and bid-ask spread. When information is endogenous, the influences are reversed. The reason is that social networks harm information production after traders tend to rely on information from communication, instead of spending a cost on it..

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来源期刊

Enterprise Information Systems 工程技术-计算机：信息系统

CiteScore

11.00

自引率

6.80%

发文量

审稿时长

6 months

期刊介绍： Enterprise Information Systems (EIS) focusses on both the technical and applications aspects of EIS technology, and the complex and cross-disciplinary problems of enterprise integration that arise in integrating extended enterprises in a contemporary global supply chain environment. Techniques developed in mathematical science, computer science, manufacturing engineering, and operations management used in the design or operation of EIS will also be considered.