淡江大學機構典藏:Item 987654321/51610
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/51610


    Title: 代理人基股票市場 : 記憶、學習與市場效率
    Other Titles: Agent-based stock market : memory, learning and market efficiency
    Authors: 劉凱倫;Liu, Kai-lun
    Contributors: 淡江大學產業經濟學系碩士班
    池秉聰;Chie, Bin-tzong
    Keywords: 記憶長度;代理人基股票市場;市場效率;Memory;Agent-Based Stock Market;Market Efficiency
    Date: 2010
    Issue Date: 2010-09-23 15:28:59 (UTC+8)
    Abstract: 本論文延伸Levy, Levy, and Solomon (2000)模型架構，藉由其模型探討兩種情況。第一，本論文希望能觀察在不同情況下，投資者的記憶長度對市場的影響；第二，當市場上投資者彼此間差異性越小時，是否會如同Levy, Levy, and Solomon (1994)一樣的情況使市場上的價格變動更為劇烈。為探討以上兩種情況進行了四種實驗的模擬，（一）增加效率市場信徒的投資者(Efficient market believer, EMB)比例（二）改變效率市場信徒的效用函數（三）改變投資者記憶長度的參數（四）減少投資者彼此間的差異。其結果:當在第一種情況下記憶長度較短的更快掌握市場，而第二和第三則記憶長度較短的投資者最後雖仍掌握市場，但是掌握市場的時間延後了；當減少投資者彼此間的差異時，市場上的價格如同Levy, Levy, and Solomon (1994)一樣。
    This paper extends Levy, Levy, and Solomon (2000) model framework, and investigates two cases of the model. First, we want to observe under different circumstances, investors’ memory impact on the market; second, The smaller difference between the investors, the greater the price volatility, whether as Levy, Levy, and Solomon (1994) the situation as the market price changes is more violent.
    To explore the above two experiments conducted four simulations, (a) increasing the efficient market believers investors (EMB) ratio (b) change the efficient market believers investors’ utility function (c) change the memory length of the investors parameter (d) reduce the differences among investors. The result: in the first case, when the increase the number of efficient market believers investors, the short memory investors become faster to grasp the market;in the second and the third case, the shorter memory investors still control the market in the last, but they spent more time to grasping the market; the last case, when we reduced differences between investors, the market price as the Levy, Levy, and Solomon (1994) as become more violent.
    Appears in Collections:[Graduate Institute & Department of Industrial Economics] Thesis

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