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本文建立基于元胞自动机的金融市场演化模型,其中将市场交易者分为基础资产价值导向和技术分析导向两类,并通过模拟不同交易者的市场行为来建立演化模型,从而生成市场价格时间序列。文章对模型产出进行分析,发现价格序列表现出随机波动、尖峰厚尾和波动聚集等经典金融理论无法解释的金融市场特性,这些特性和实际金融市场有很高的相似度。因此论文得出结论:元胞自动机是探索金融复杂性的强有力工具。
This paper establishes the evolutionary model of financial markets based on cellular automata, in which the market traders are divided into two categories: basic asset value orientation and technical analysis orientation, and the evolution model is established by simulating the market behavior of different traders to generate the market price time sequence. The article analyzes the output of the model and finds that the price series shows the characteristics of financial markets that can not be explained by the classical financial theory, such as random fluctuations, thick tail and fluctuating aggregate, which have very high similarities with the real financial markets. So the paper concludes that Cellular Automata is a powerful tool for exploring financial complexity.