{"id":958,"date":"2021-05-19T16:27:58","date_gmt":"2021-05-19T08:27:58","guid":{"rendered":"https:\/\/xg1990.com\/blog\/?p=958"},"modified":"2021-05-22T09:04:20","modified_gmt":"2021-05-22T01:04:20","slug":"%e5%9f%ba%e4%ba%8e%e4%b8%bb%e4%bd%93%e7%9a%84%e6%a8%a1%e5%9e%8b%ef%bc%88agent-based-model%ef%bc%89%e9%87%91%e8%9e%8d%e5%b8%82%e5%9c%ba%e6%a8%a1%e6%8b%9f%e7%a0%94%e7%a9%b6%e8%b0%83%e7%a0%94","status":"publish","type":"post","link":"https:\/\/xg1990.com\/blog\/archives\/958","title":{"rendered":"\u57fa\u4e8e\u4e3b\u4f53\u7684\u6a21\u578b\uff08Agent-based model\uff09\u91d1\u878d\u5e02\u573a\u6a21\u62df\u7814\u7a76\u8c03\u7814"},"content":{"rendered":"\n<p><\/p>\n\n\n\n<p>\u7ed3\u8bba\uff1a\u76ee\u524d\u91d1\u878d\u5e02\u573a\u7684\u6a21\u62df\u65b9\u6cd5\u4ee5\u7edf\u8ba1\u6a21\u578b\u4e3a\u4e3b\u6d41\uff1bAgent-based model\u7684\u7814\u7a76\u5728\u9884\u6d4b\u80fd\u529b\u65b9\u9762\u8fd8\u6ca1\u6709\u6bd4\u8f83\u6709\u6548\u7684\u8bc1\u660e\uff0c\u4e3b\u8981\u7528\u4e8e\u6a21\u62df\u548c\u5206\u6790<\/p>\n\n\n\n<hr class=\"wp-block-separator\"\/>\n\n\n\n<p>\u4ee5 agent based stock market simulation \u4e3a\u5173\u952e\u8bcd\uff0c\u5728Google Scholar \u641c\u7d22\u5230\u51e0\u7bc7\u6587\u7ae0\uff1a<\/p>\n\n\n\n<ul><li>Georgia Institute of Technology \u53d1\u5e03\u4e86\u540d\u4e3a <a href=\"https:\/\/arxiv.org\/abs\/1904.12066\" target=\"_blank\" rel=\"noreferrer noopener\">ABIDES<\/a> \u7684\u6a21\u62df\u7cfb\u7edf\uff0c\u540c\u65f6\u6e90\u4ee3\u7801\uff08python\uff09\u53d1\u5e03\u5728\uff1a<a href=\"https:\/\/github.com\/abides-sim\/abides\" target=\"_blank\" rel=\"noreferrer noopener\">https:\/\/github.com\/abides-sim\/abides<\/a> \u3002\u7cfb\u7edf\u9488\u5bf9\u7f8e\u56fdNASDAQ\u548c NYSE \u8bbe\u8ba1\u3002\u8bba\u6587\u4e2d\u6a21\u62df\u4e86\u4e00\u4e2a\u5927\u989d\u8ba2\u5355\u51fa\u73b0\u5728\u8ba2\u5355\u8584\u4e0a\u5bf9\u65e5\u5185\u80a1\u4ef7\u8d70\u52bf\u7684\u5f71\u54cd\u3002\uff08\u4f3c\u4e4e\u6b64\u7c7b\u6a21\u62df\u4ec5\u9650\u65e5\u5185\u6ce2\u52a8\u7684\u6a21\u62df\uff09<\/li><li>\u5fb7\u56fd\u56e2\u961f\u53d1\u5e03\u4e86\u540d\u4e3a <a href=\"https:\/\/link.springer.com\/article\/10.1007\/s10614-019-09910-1\" target=\"_blank\" rel=\"noreferrer noopener\">SABCEMM<\/a> \u7684\u6a21\u62df\u8f6f\u4ef6\uff0c\u4e5f\u6709\u5f00\u653e\u6e90\u4ee3\u7801\uff08C++\uff09\uff1ahttps:\/\/github.com\/SABCEMM\/SABCEMM\u3002\u76ee\u524d\u8fd8\u6ca1\u6709\u4f7f\u7528\u771f\u5b9e\u6570\u636e\u6d4b\u8bd5<\/li><\/ul>\n\n\n\n<p>\u66f4\u6362\u641c\u7d22\u5173\u952e\u8bcd\uff1aagent based stock price simulation<\/p>\n\n\n\n<ul><li>\u610f\u5927\u5229\u5b89\u79d1\u7eb3\u9a6c\u5c14\u51ef\u7406\u5de5\u5927\u5b66\uff08Universit\u00e0 Politecnica delle Marche\uff09\u7684<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/abs\/pii\/S0165188915001517\" target=\"_blank\" rel=\"noreferrer noopener\">\u7814\u7a76<\/a>\u5728 Brock and Hommes model \u7684\u57fa\u7840\u4e0a\uff0c\u52a0\u5165\u53c2\u6570\u77eb\u6b63\uff08calibration\uff09\uff0c\u4ec5\u8003\u8651\u57fa\u672c\u9762\u6295\u8d44\u8005\u548c\u8d8b\u52bf\u8ffd\u8e2a\u4e24\u7c7b\u6295\u8d44\u8005\uff0c\u5b9e\u73b0\u4e86S&amp;P 500, Euro Stoxx 50, Nikkei 225 \u548c CSI 300\u56db\u5927\u6307\u6570\u7684\u6a21\u62df\u548c\u9884\u6d4b\uff08\u63d0\u524d2\u65e5\uff09\u3002\u8fd9\u4e2a\u6a21\u578b\u6ca1\u6709\u590d\u6742\u7684\u8bbe\u8ba1\uff0c\u91cd\u70b9\u653e\u5728\u53c2\u6570\u8c03\u6559\u548c\u6a21\u62df\u4f18\u5316\u4e0a\uff0c\u4f3c\u4e4e\u80fd\u591f\u5f88\u597d\u7684\u590d\u73b0\uff0c\u4f46\u6b64\u7c7b\u601d\u8def\u4e0e\u673a\u5668\u5b66\u4e60\/\u7eaf\u65f6\u95f4\u5e8f\u5217\u5206\u6790\u5df2\u7ecf\u6ca1\u6709\u5f88\u5927\u5dee\u5f02\u4e86\u3002<\/li><li>\u57fa\u4e8e\u4e3b\u4f53\u7684\u6a21\u578b\uff08Agent-based model\uff09\u6839\u636e\u4ed6\u4eec\u7684\u6839\u636e\u5176\u7ecf\u9a8c\u6709\u6548\u6027\u6c34\u5e73\u5206\u4e86\u56db\u4e2a\u7b49\u7ea7<a href=\"#_ftn1\">[1]<\/a>\uff1a<ul><li>\u7b2c0\u7ea7\uff1a\u6a21\u578b\u662f\u73b0\u5b9e\u7684\u62bd\u8c61\uff0c\u901a\u8fc7\u4f7f\u7528\u7b80\u5355\u7684\u56fe\u5f62\u8868\u8fbe\uff08\u4f8b\u5982\uff0c\u53ef\u89c6\u5316\u4e2a\u4f53\u7684\u884c\u52a8\uff09\u3002<\/li><li>\u7b2c1\u7ea7\uff1a\u6a21\u578b\u4e0e\u7ecf\u9a8c\u5b8f\u89c2\u7ed3\u6784\u5728<strong>\u5b9a\u6027<\/strong>\u4e0a\u4e00\u81f4\uff0c\u901a\u8fc7\u7ed8\u5236\u7fa4\u4f53\u7684\u5206\u5e03\u7279\u6027\u7b49\u5efa\u7acb\u7684\u3002<\/li><li>\u7b2c2\u7ea7\uff1a\u6a21\u578b\u663e\u793a\u51fa\u4e0e\u7ecf\u9a8c\u6027<strong>\u5b8f\u89c2<\/strong>\u7ed3\u6784\u7684<strong>\u5b9a\u91cf<\/strong>\u4e00\u81f4\uff0c\u901a\u8fc7\u7edf\u8ba1\u4f30\u8ba1\u5efa\u7acb\u3002<\/li><li>\u7b2c3\u7ea7\uff1a\u6a21\u578b\u663e\u793a\u51fa\u4e0e\u7ecf\u9a8c\u6027<strong>\u5fae\u89c2<\/strong>\u7ed3\u6784\u7684<strong>\u5b9a\u91cf<\/strong>\u4e00\u81f4\uff0c\u8fd9\u662f\u901a\u8fc7\u5bf9\u7fa4\u4f53\u7684\u6a2a\u622a\u9762\u548c\u7eb5\u5411\u5206\u6790\u786e\u5b9a\u7684\u3002<\/li><li>\u76ee\u524d\u7684\u7814\u7a76\u8fd8\u5904\u4e8e\u4ece L1 \u5230 L2 \u7684\u53d1\u5c55\u9636\u6bb5\uff082017\u5e74\u8bba\u6587<a href=\"#_ftn2\">[2]<\/a>\uff09<\/li><\/ul><\/li><\/ul>\n\n\n\n<p>\u5982\u679c\u5c06\u641c\u7d22\u5173\u952e\u8bcd\u4e2d\u7684 agent based \u9650\u5b9a\u53bb\u6389\uff0c\u5373\uff1astock price simulation\u3002\u90a3\u4e48\u5927\u90e8\u5206\u7684\u7814\u7a76\u8bba\u6587\u5747\u4f7f\u7528\u7684\u662f\u7edf\u8ba1\u6a21\u578b\uff08\u5982\u51e0\u4f55\u5e03\u6717\u8fd0\u52a8 geometric Brownian motion<a href=\"#_ftn3\">[3]<\/a>\u3001\u5c0f\u6ce2\u5206\u6790\u3001\u795e\u7ecf\u7f51\u7edc\u7b49\u65b9\u6cd5\uff09<\/p>\n\n\n\n<hr class=\"wp-block-separator\"\/>\n\n\n\n<p><a href=\"#_ftnref1\">[1]<\/a> Sylvain Barde and Sander van der Hoog. An empirical validation protocol for large-scale agent-based models. Studies in Economics 1712, School of Economics, University of Kent, July 2017. URL https:\/\/ideas.repec.org\/ p\/ukc\/ukcedp\/1712.html. &amp;&amp; <a href=\"https:\/\/link.springer.com\/chapter\/10.1007\/978-3-319-70766-2_31\">https:\/\/link.springer.com\/chapter\/10.1007\/978-3-319-70766-2_31<\/a><\/p>\n\n\n\n<p><a href=\"#_ftnref2\">[2]<\/a> <a href=\"https:\/\/link.springer.com\/chapter\/10.1007\/978-3-319-70766-2_31\">https:\/\/link.springer.com\/chapter\/10.1007\/978-3-319-70766-2_31<\/a><\/p>\n\n\n\n<p><a href=\"#_ftnref3\">[3]<\/a> <a href=\"https:\/\/zh.wikipedia.org\/wiki\/%E5%87%A0%E4%BD%95%E5%B8%83%E6%9C%97%E8%BF%90%E5%8A%A8\">https:\/\/zh.wikipedia.org\/wiki\/%E5%87%A0%E4%BD%95%E5%B8%83%E6%9C%97%E8%BF%90%E5%8A%A8<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u7ed3\u8bba\uff1a\u76ee\u524d\u91d1\u878d\u5e02\u573a\u7684\u6a21\u62df\u65b9\u6cd5\u4ee5\u7edf\u8ba1\u6a21\u578b\u4e3a\u4e3b\u6d41\uff1bAgent-based model\u7684\u7814\u7a76\u5728\u9884\u6d4b\u80fd\u529b\u65b9\u9762\u8fd8\u6ca1\u6709\u6bd4\u8f83&hellip;&nbsp;<a href=\"https:\/\/xg1990.com\/blog\/archives\/958\" class=\"\" rel=\"bookmark\">\u9605\u8bfb\u66f4\u591a &raquo;<span class=\"screen-reader-text\">\u57fa\u4e8e\u4e3b\u4f53\u7684\u6a21\u578b\uff08Agent-based model\uff09\u91d1\u878d\u5e02\u573a\u6a21\u62df\u7814\u7a76\u8c03\u7814<\/span><\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"neve_meta_sidebar":"","neve_meta_container":"","neve_meta_enable_content_width":"","neve_meta_content_width":0,"neve_meta_title_alignment":"","neve_meta_author_avatar":"","neve_post_elements_order":"","neve_meta_disable_header":"","neve_meta_disable_footer":"","neve_meta_disable_title":""},"categories":[1],"tags":[],"translation":{"provider":"WPGlobus","version":"3.0.1","language":"zh","enabled_languages":["zh","en"],"languages":{"zh":{"title":true,"content":true,"excerpt":false},"en":{"title":false,"content":false,"excerpt":false}}},"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v18.4.1 - 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