一个具有双重反馈作用的异类经纪人herding模型

一个具有双重反馈作用的异类经纪人herding模型被提出.该模型认为,金融市场是由不同大小和行为倾向的经纪人集团组成.当两个不同行为倾向的经纪人集团相遇时,他们有可能发生一次交易;当两个同种行为倾向的经纪人集团相遇时,他们可能合并成一个更大的经纪人集团.交易或合并的成功率跟市场上一次波动程度有关.当两个经纪人集团发生一次交易后,处于亏损方的经纪人集团有可能分化和翻转,分化和翻转的概率取决于经纪人集团的亏损程度和市场信念等因素.数值计算表明,该模型能较好地反映市场的经济行为和动力学特性.

A heterogeneous agent herding model with dual feedback interactions

A heterogeneous agent herding model with dual feedback interactions is proposed, which suggests that the financial markets consist of agent clusters with different sizes and tendencies. When two heterogeneous agent clusters encounter, an exchange may occur;while two homogeneous ones meet, they may merge into a bigger one. The ratio of successful exchange or merging depends on the fluctuating degree of the last action. After the exchange, the agent cluster who loses money may dissolve and reverse. The probability of the dissolution and reversal depends on the factors of the lost degree and the faith on the market. The numerical calculation shows that the model exhibits some dynamics behaviors and characteristics which are close to real markets.