基于Agent的计算金融学建模与仿真方法研究

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摘要

复杂系统与复杂性科学是 21 世纪的科学，其研究方法是近代以来科学方法论

的又一场革命，将为人们提供全新的了解自然界奥秘的手段。当前，对于自然现

象、社会、政治、军事、管理、生物、经济、特别是金融等领域复杂适应系统与复杂性

的研究，呼唤新的建模与仿真方法的出现，基于 Agent 的建模与仿真方法应运而

生。由于金融市场是一个复杂适应系统，所以基于 Agent 的计算金融学建模与仿

真方法学作为当前研究金融市场复杂适应系统的科学方法，成为当前建模与仿真

领域的研究热点。

本论文以复杂适应系统理论为立论基础与研究方法，以金融市场的建模与仿

真为立题背景，进行了基于 Agent 的计算金融学建模与仿真方法普适理论的相关

研究，将金融市场复杂适应系统看作是由系统中的 Agent 机制与环境中的资源机

制、及其它 Agent 机制不断地进行相互作用，并以构建动态机制的形式相互聚集、

层层涌现出的动态机制。并将这个普适理论应用到股票市场的建模与仿真中，以

期使基于 Agent 的计算金融学建模与仿真方法学成为一套完善的建模与仿真理论，

并能够为指导具体金融市场复杂适应系统的建模与仿真研究提供一定帮助。

本论文结合前人的研究成果，并从复杂适应系统理论的基本内容与观点出发，

对金融市场复杂适应系统的复杂性进行了分析和探讨，在详细阐述了基于 Agent

的计算金融学建模与仿真方法的基本思想和主要特点的基础上，提出了金融市场

复杂适应系统建模与仿真的框架和研究思路，并因此界定了基于 Agent 计算金融

学建模与仿真方法的研究内容。在此框架下，通过引入机制概念，来刻画 Agent

不断进行适应与学习进化的动态属性，将 Agent 在不断的适应与进化过程中涌现

出的功能结构模式看作是动态的 Agent 机制，而 Agent 机制又被看作是金融市场

复杂适应系统复杂现象涌现的构造模式。并给出了基于 Agent 计算金融学建模与

仿真方法学意义下，包括 Agent 机制、信号、转换函数、资源机制以及基于 Agent

的计算金融学模型的概念及形式化描述。建立了规范的基于 Agent 计算金融学建

模与仿真方法的流程，这对于规范金融市场复杂适应系统的建模与仿真，减少建

模与仿真的复杂度以及提高模型的重用性与可用性均具有重要的意义。

最后，论文还将基于 Agent 的计算金融学建模与仿真方法应用到股票市场的

建模与仿真研究中，不仅详细描述了基于 Agent 的股票市场建模与仿真的基本设

置、具体过程、及相应的实现算法，还利用面向对象的思想，采用 Java 语言实现了

一个基于 Agent 的股票市场仿真模型的原型系统。

本论文的主要创新点是：

1.在深入研究和分析了基于 Agent 的计算金融学建模与仿真方法的基础上，通过

引入机制这一概念，来刻画 Agent 不断进行适应与学习进化的动态属性，将

Agent 在不断的适应与进化过程中涌现出的功能结构模式看作是动态的 Agent 机

制，而 Agent 机制又被看作是金融市场复杂适应系统复杂现象涌现的构造模式；

2.构建了基于机制的 Agent 模型；在引入机制概念的基础上，论文特别对基于

Agent 计算金融学模型中的 Agent 机制进行了深入的研究，提出了基于机制的

Agent 模型结构框架，将 Agent 看作为由感知基本机制、操作基本机制、决策基本

机制、适应控制基本机制 4大基本机制相互作用而构成的动态机制。并分别对各基

本机制的结构及其相应的算法进行了详细地阐述；

3.引入了资源机制的概念；将资源机制看作是一种特殊的 Agent 机制，是由感知

基本机制、操作基本机制、决策基本机制 3大基本机制相互作用而动态构建的能处

理所有与资源有关操作的一种功能结构模式。并分别对各基本机制的结构及其相

应的算法进行了详细地阐述；从而，将金融市场复杂适应系统完全统一到机制构

造的动态网络之中；

4.将金融市场复杂适应系统看作是由 Agent 机制与环境中的资源机制进行相互作

用，并以构建动态机制的形式相互聚集、层层涌现出的动态机制。同时，特别强调

了信号在金融市场复杂适应系统的机制动态涌现过程中的作用；从而使金融市场

复杂适应系统模型成为了一个动态的受限生成过程[23]；

5.在进行基于 Agent 计算金融学建模与仿真的过程中，引入了 Agent 及基于

Agent 计算金融学模型的生命周期概念。其生命周期涉及三个方面的模型：首先是

在系统分析阶段由领域专家参与建立的概念模型；其次是在系统建模阶段由建模

专家参与建立的设计模型；最后是在系统仿真阶段由计算机专家参与建立的计算

模型。

关键词：机制计算金融学基于 Agent 的建模与仿真方法

Agent 机制资源机制信号转换函数。

ABSTRACT

The theories of complex systems and complexity are the sciences of 21 century,

whose research method is another revolution for scientific methodology since modern

times, and will provide people with new solutions to uncover the miracles of the nature.

The researches needed for complex systems and complexity in natural phenomena,

society, polity, military, management, biology,economy, especially finance impose a

great challenge to the current theories and methods of modeling and simulation.While

the novel Agent-Based Modeling and Simulation methodology, which is the hot topic

today in modeling and simulation field, can fulfill the requirements.

Based on the theories of complex systems and complexity, the paper has conducted

research on Agent-Based Computational Finance Modeling and Simulation general

methodology and problems relevant to the modeling and simulation of finance market,

which are also complex systems. In the approach of Agent-Based Computational

Finance Modeling and Simulation, it considers finance market complex adaptive system

as emergent dynamic mechanism in which agents mechanism of system interact

ceaselessly with resource mechanism of environment and else agents mechanism, one

another assemble and level upon levels construct. And this general methodology is

applied to modeling and simulation of stock market,the purpose is to make Agent-Based

Computational Finance Modeling and Simulation become a perfect theory of modeling

and simulation, which can instruct the research for finance market complex adaptive

systems.

This thesis summarize research harvest of complex adaptive systems, and from the

basic views of complex adaptive systems theory, complexity of finance market complex

adaptive systems was also was analyzed and discussed. This thesis expatiate on the

basic idea and the primary characteristic of Agent-Based Computational Finance

Modeling and Simulation approach. A research approach for finance market complex

adaptive systems modeling and simulation was proposed. And a novel framework for

Agent-Based Computational Finance Modeling and Simulation was proposed

creatively,which bounded the research contents of Agent-Based Computational Finance

Modeling and Simulation impliedly.In this framework, concept of agent was extend

from adaption and evolution of agent. Concept of agent mechanism was import.And it

considers mechanism as emergent pattern of finance market complex adaptive

systems.Thereafter, concept and formal specifications of the agent mechanism, the

III

signal, the transition function, the resource mechanism and the Agent-Based

Computational Finance Model was defined and represented formally according to

Agent-Based Computational Finance Modeling and Simulation framework.And it

establish canonical flow of Agent-Based Computational Finance Modeling and

Simulation approach for directing modeling and simulation of finance market complex

adaptive systems. Consequently, complication was reduced on modeling and

simulation,and usability of model was improved.

Finally, approachv of Agent-Based Computational Finance Modeling and

Simulation is applied to modeling and simulation of stock market. Not only the basic

setup,the process and relevant arithmetic of agent-based stock market modeling and

simulation are detailedly described ,but also a prototype of agent-based stock market is

designed with java language base on idea of Object Oriented.

Innovation of This thesis is that:

1. This thesis depict dynamic attribute of agents which are evolving and adapting

ceaselessly through importing concept of mechanism.And a novel framework for

Agent-Based Computational Finance Modeling and Simulation was proposed

creatively. It considers emergent structure pattern of agent as dynamic agent

mechanisms when agents are evolving and adapting ceaselessly. And it considers

agent mechanism as emergent pattern of finance market complex adaptive

systems.

2. Author study the agent mechanism in Agent-Based Computational Finance

Model, and put forward framework of mechanism based agent model. It considers

the agent as evolutive mechanism which was set through four essence mechanism,

namely perception mechanism, action mechanism, decision-making mechanism,

adaption control mechanism, interacting. And all the structure and the arithmetic

of the essence mechanism was described.

3. Conception of resource mechanism is proposed, it is considered as a special

agent mechanism. So finance market complex adaptive systems is a dynamic

mechanisms that is constructed by agent mechanisms. And resource mechanism is

constructed by three essence mechanism, namely perception mechanism, action

mechanism, decision-making mechanism, interacting. It can disposal all

manipulation correlative with resource. All the structure and the arithmetic of the

essence mechanism was described in resource mechanism at the same time.

4. It considers finance market complex adaptive system as emergent dynamic

mechanism networks in which agents mechanism of system interact ceaselessly

with resource mechanism of environment and else agents mechanism, one another

assemble and level upon levels construct. Especially, it emphasize effect of signal

in dynamic emergence of finance market complex adaptive systems. Therefore,

finance market complex adaptive system like as a dynamic Constrained generating

procedures.

5. It put forward lifecycle conception of Agent and Agent-Based Computational

Finance Model. Lifecycle come down to three process model: notional model,

design model, computing model.

Key words: Mechanism, Computational Finance, Agent Based

Modeling and Simulation, Agent Mechanism, Resource

Mechanism, signal, Transition Function.

中文摘要

ABSTRACT

第一章引言......................................................................................................................1

§1.1 研究背景...............................................................................................................1

§1.2 研究意义...............................................................................................................4

§1.3 基于 Agent 计算金融学建模与仿真方法的研究现状.......................................5

§1.3.1 基于 Agent 计算金融学建模与仿真方法学的研究....................................5

§1.3.2 基于 Agent 建模方法的金融市场模型研究................................................7

§1.4 本论文的主要研究内容.....................................................................................12

§1.5 本论文的主要创新点.........................................................................................14

第二章基于 Agent 计算金融学建模与仿真的相关研究领域概述............................16

§2.1 复杂性科学与复杂适应系统理论.....................................................................16

§2.1.1 复杂性科学的产生......................................................................................16

§2.1.2 复杂适应系统理论的基本内容与观点......................................................20

§2.1.3 复杂适应系统理论的主要特点..................................................................22

§2.1.4 复杂适应系统的基本概念..........................................................................24

§2.1.5 复杂适应系统的基本特征..........................................................................26

§2.2 Agent 理论..........................................................................................................28

§2.2.1 Agent 的概念...............................................................................................28

§2.2.2 Agent 的研究范围.......................................................................................29

§2.2.3 Agent 技术...................................................................................................30

§2.3 基于 Agent 的建模与仿真方法.........................................................................32

§2.3.1 基于 Agent 建模与仿真方法概述..............................................................32

§2.3.2 基于 Agent 建模与仿真的起源与发展......................................................33

§2.3.3 基于 Agent 的建模与仿真方法的基本内容..............................................33

§2.3.4 基于 Agent 的建模与仿真的研究现状......................................................34

§2.3.5 基于 Agent 建模与仿真概念下 Agent 与对象(Object)的比较.................37

第三章金融市场复杂适应系统的建模与仿真分析....................................................39

§3.1 金融市场是一个复杂适应系统.........................................................................39

§3.2 金融市场复杂性的表现.....................................................................................40

§3.3 传统的金融市场建模方法的不足.....................................................................42

§3.4 基于 Agent 的计算金融学.................................................................................43

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摘要：

摘要复杂系统与复杂性科学是21世纪的科学，其研究方法是近代以来科学方法论的又一场革命，将为人们提供全新的了解自然界奥秘的手段。当前，对于自然现象、社会、政治、军事、管理、生物、经济、特别是金融等领域复杂适应系统与复杂性的研究，呼唤新的建模与仿真方法的出现，基于Agent的建模与仿真方法应运而生。由于金融市场是一个复杂适应系统，所以基于Agent的计算金融学建模与仿真方法学作为当前研究金融市场复杂适应系统的科学方法，成为当前建模与仿真领域的研究热点。本论文以复杂适应系统理论为立论基础与研究方法，以金融市场的建模与仿真为立题背景，进行了基于Agent的计算金融学建模与仿真方法普适理论的相关研究，将...

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