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在Chinrella人工股票市场的交易框架下,建立了在异质信念模块中增加财富与信息模型的人工股票市场。并通过多次实验,研究了财富与信息对股票市场非线性特征的影响。结果表明,收益率的尖峰、厚尾,波动聚集性,长期记忆性这三种非线性特征的形成各不相同。财富分布均匀更多导致收益率的尖峰、厚尾,长期记忆性产生,而财富分布不均匀导致收益率波动聚集性的产生;技术分析者信息处理方面,不均匀处理更多导致尖峰、厚尾产生,均匀处理更多导致波动聚集性产生,利用更多过去信息将更多导致长期记忆性产生。最后,从股票市场非线性特征的形成机理角度提出了完善股票市场的建议。
Under the trading framework of the Chinrella artificial stock market, an artificial stock market is established that adds a model of wealth and information to a heterogeneous belief module. And through many experiments, we study the influence of wealth and information on the nonlinear characteristics of the stock market. The results show that the formation of the three non-linear features of spikes, thick tail, fluctuating aggregation and long-term memory are all different. Uniform distribution of wealth leads to spikes in yields, thick tails and long-term memory, while the uneven distribution of wealth leads to the accumulation of volatility in returns. In technical information processing, uneven processing leads to more spikes and thick tails Produce, even more treatment led to the formation of volatility aggregation, the use of more past information will lead to more long-term memory. Finally, we put forward suggestions on how to improve the stock market from the perspective of the formation mechanism of nonlinear features in the stock market.