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    Title: 人工股票市場的市場效率與個人績效 : 代理人學習行為、財富與基本面價值
    Other Titles: Market efficiency and individual performance in artificial stock market : agent learning behavior, wealth, and fundamental value
    Authors: 潘信豪;Pan, Sin-hao
    Contributors: 淡江大學產業經濟學系碩士班
    池秉聰;Chie, Bin-tzong
    Keywords: 代理人基;人工股票市場;市場效率;Agent-Based;Artificial Stock Market;Market Efficiency
    Date: 2010
    Issue Date: 2010-09-23 15:29:56 (UTC+8)
    Abstract: 文章使用真人實驗軟體,進行模擬交易。利用兩種極端代理人,分別為基本價值交易者(fundamental analysis trader)與零智慧交易者(zero-intelligence traders)。資產市場實驗是具有完全資訊,交易者知道資產基本價值,每次交易市場為九名交易者進行交易。總共有九個實驗,每個實驗進行24次資產交易。當交易者雖然稟賦總資產相同,但稟賦型態不同,即一開始交易者股票與實驗貨幣比例不同,是否就已經對於資產價格變動與投資者報酬有所影響。另外對於投資者的經驗、基本價值交易者的影響予以探討。

    實驗結果,投資者稟賦型態不同,交易者平均報酬明顯不同。主要以高現金、低股票的稟賦型態交易者平均報酬較高於另外兩種稟賦型態投資者。一開始現金較多的投資者,可以選擇賣股票且買股票也有較多的實驗貨幣,相形之下,較為有利。對於資產價格變動的影響,效果不明顯。另外,交易者藉由交易經驗學習,會參考過去資訊,進行交易策略,會使資產交易價格趨近資產基本價值,泡沫規模減少且提前。基本價值交易者,有導正市場價格趨近基本價值的能力,當基本價值人數增加,價格趨近基本價值效果更明顯。

    然而,當市場基本價值交易者人數超過非基本價值交易者,非基本價值交易者報酬不會低到無法交易。相反,當市場非基本價值交易者人數超過基本價值交易者,基本價值交易者報酬也不會低到無法交易。另外,資產價格波動程度大的市場相對於資產價格波動程度小的市場,交易者平均報酬會顯著較高。
    This study applies z-tree to simulate trading in asset market. We design two types of software traders/agent, one is fundamental-value trader and the other is zero-intelligence trader. The asset market is composed of nine traders who have complete information and all of them should know the fundamental value of assets. We completed nine market experiments and each experiment has 24 repeated sessions. Each trader has identical endowment. However, the composite of the endowments is different. The proportion of stock number and experiments money is initially different. The different affects the change of asset price and investment return. In our study, we will focus on the influence caused by experienced investors and fundamental-value traders

    The experiment results show that different composites of endowments induce different average returns for traders. Those who have endowment with high cash and low stock number will get higher average returns than other composite of endowments. It’s good for investors who have plenty of cash because they can choose to buy stocks with lower price from the beginning and sell them with high price in the end, and then earn more experimental currency. It isn’t significant for the effect of the asset price of change, when traders’ endowments are different. In addition, investors refer to the information in the past as their investment strategy that brings about the asset price is approximately equal to asset fundamental value, and the bubble size is decreasing or being beforehand. Fundamental value traders lead the market prices close to fundamental values. When the fundamental value price is closer to fundamental values, it will be more effective.

    However, when the numbers of fundamental value traders are more than the numbers of the non-fundamental value traders, the returns of non-fundamental value traders are not low enough to carry out transactions. On the contrary, when the numbers of the non-fundamental value traders are more than the numbers of fundamental value traders, the returns of fundamental value traders are not low enough to carry out transactions. The traders''average returns are significantly higher in the markets with larger fluctuation of asset price than the smaller ones.
    Appears in Collections:[產業經濟學系暨研究所] 學位論文

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