金融市场模拟

Financial Market Simulation

The Journal of Portfolio Management · 2004
被引 53
ABS 3

中文导读

介绍了一种异步时间模拟模型,用于模拟股票市场,允许用户自定义投资者数量、交易规则等参数,以更真实地理解复杂市场对政策变化的反应。

Abstract

When they want to see how complex systems work, scientists often turn to asynchronous-time simulation models, which allow processes to change sporadically over time, typically at irregular intervals. While rarely used in finance today, such models may turn out to be valuable tools for understanding how markets respond to changes in the participation rates of different types of investors, for example, or to changes in regulatory or investment policies. The asynchronous, discrete-event, stock market simulator described here allows users to create a model of the market, using their own inputs. Users can vary the numbers of investors, traders, portfolio analysts, and securities, as well as their own investing and trading decision rules. Such a simulation may be able to provide a more realistic picture of complex markets.

金融经济学计算机科学行为经济学投资决策