基于认知层次模型和扩展ABM方法的资本市场异象研究--e-Science在社会科学中的初步应用.pdfVIP

83 ·应用?/?APPLICATION· 科研信息化技术与应用 2 0 1 4 , 5 ( 1 ) : 8 3 – 9 2 Study on Emergence of Capital Market with Cognitive Hierarchy and Extensive Agent-Based Modeling — An Application of e-Science in Social Sciences Wang Guocheng1, Long Yuntao2 1. Institute of Quantitative Technical Economics, Chinese Academy of Social Sciences , Beijing 100732, China 2. Key Laboratory of Systems and Control, Institute of Systems Science, Academy of Mathematics and Systems Science, China Academy of Sciences , Beijing 100190, China Abstract: Keywords: doi: 10.11871/j.issn.1674-9480.2014.01.009 Agent-based modeling (ABM) with micro-macro link features is useful in exploring economic and capital market complexities and suggests the potential application of e-Science in areas of humanities and social studies. However, the theoretical foundations of ABM must be enriched through behavioral analysis. So e-Science and related technology are used to conduct in-depth behavioral analysis and structure evolution simulation and to determine complex social and economic phenomena that cannot be addressed by traditional theories and methods. The cognitive hierarchy model (CH) depicts key behavioral characteristics, and the ABM method is expanded based on active data obtained from investor behavior in the Chinese stock market. The responses of policy signals to the price reaction pattern in the stock market are differentiated through computational experiments via MatLab and NetLogo in the CH model extension. Analyzing the relationship between heterogeneous investors displaying real CH behavior and capital market emergence is more efficient than current methods, and the computational experiment based on extensive ABM technology supports the empirical conclusion that China’s stock market is policy-sensitive. cognitive hierarchy; agent-based modeling; emergence; computational experiment; stock market of China Project supported by the National Basic Research Program of China (973 Program) (Gran