ARTIFICIAL ECONOMIC LIFE - A SIMPLE-MODEL OF A STOCKMARKET

被引：236

作者：

PALMER, RG

ARTHUR, WB

HOLLAND, JH

LEBARON, B

TAYLER, P

机构：

[1] STANFORD UNIV,FOOD RES INST,STANFORD,CA 94305

[2] UNIV MICHIGAN,DIV COMP SCI & ENGN,ANN ARBOR,MI 48103

[3] UNIV WISCONSIN,DEPT ECON,MADISON,WI 53706

[4] SANTA FE INST,SANTA FE,NM 87501

[5] COOPERS & LYBRAND DELOITTE MCS,LONDON EC4M 7PL,ENGLAND

来源：

PHYSICA D | 1994年 / 75卷 / 1-3期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1016/0167-2789(94)90287-9

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We describe a model of a stockmarket in which independent adaptive agents can buy and sell stock on a central market. The overall market behavior, such as the stock price time series, is an emergent property of the agents' behavior. This approach to modelling a market is contrasted with conventional rational expectations approaches. Our model does not necessarily converge to an equilibrium, and can show bubbles, crashes, and continued high trading volume.

引用

页码：264 / 274

页数：11

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