异构Agent模型中的智能Agent和情感

IF 0.1 Q4 COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS
ERCIM News Pub Date : 2010-01-01 DOI:10.18267/J.PEP.350
Lukáš Vácha, Jozef Baruník, M. Vosvrda
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引用次数: 6

摘要

本文通过引入智能交易者和智能体情绪的变化,扩展了原有的异构智能体模型。聪明交易者的想法是基于市场代理人对未来价格变动的估计。通过添加智能交易者和情绪变化,我们试图改进原始的异构代理模型,使其更接近真实市场的描述。模拟的主要结果是,当智能交易者加入模型时,价格偏差的概率分布函数发生了显著变化,当情绪变化引入模型时,它们也发生了显著变化。我们还使用赫斯特指数来衡量价格偏差的持久性,我们发现赫斯特指数随着模拟中聪明交易者的数量而显著增加。这意味着在模型中引入聪明交易者的概念会显著提高模拟价格偏差的持久性。另一方面,在提议的形式中引入变化的情绪并没有显着改变模拟价格的持久性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Smart Agents and Sentiment in the Heterogeneous Agent Model
In this paper we extend the original heterogeneous agent model by introducing smart traders and changes in agents' sentiment. The idea of smart traders is based on the endeavor of market agents to estimate future price movements. By adding smart traders and changes in sentiment we try to improve the original heterogeneous agents model so that it provides a closer description of real markets. The main result of the simulations is that the probability distribution functions of the price deviations change significantly when smart traders are added to the model, and they also change significantly when changes in sentiment are introduced. We also use the Hurst exponent to measure the persistence of the price deviations and we find that the Hurst exponent is significantly increasing with the number of smart traders in the simulations. This means that the introduction of the smart traders concept into the model results in significantly higher persistence of the simulated price deviations. On the other hand, the introduction of changing sentiment in the proposed form does not change the persistence of the simulated prices significantly.
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ERCIM News
ERCIM News COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS-
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