Hommes Cars H
Center for Nonlinear Dynamics in Economics and Finance, Department of Quantitative Economics, University of Amsterdam, Roetersstraat 11, NL-1018 WB, Amsterdam, The Netherlands.
Proc Natl Acad Sci U S A. 2002 May 14;99 Suppl 3(Suppl 3):7221-8. doi: 10.1073/pnas.082080399.
Recent work on adaptive systems for modeling financial markets is discussed. Financial markets are viewed as evolutionary systems between different, competing trading strategies. Agents are boundedly rational in the sense that they tend to follow strategies that have performed well, according to realized profits or accumulated wealth, in the recent past. Simple technical trading rules may survive evolutionary competition in a heterogeneous world where prices and beliefs co-evolve over time. Evolutionary models can explain important stylized facts, such as fat tails, clustered volatility, and long memory, of real financial series.
讨论了近期关于金融市场建模自适应系统的工作。金融市场被视为不同竞争交易策略之间的演化系统。从某种意义上说,主体具有有限理性,即他们倾向于遵循根据近期已实现的利润或积累的财富表现良好的策略。在一个价格和信念随时间共同演化的异质世界中,简单的技术交易规则可能在演化竞争中存续下来。演化模型可以解释实际金融序列的重要典型事实,如胖尾、波动聚集和长记忆性。