带有博弈的集团部分分解羊群模型研究-数学专业论文.docx

浙江 浙江工业大学硕士学位论文 I万方数据 I 万方数据 带有博弈的集团部分分解羊群模型研究 摘 要 本文首先在原始的 EZ 羊群模型基础之上，分别提出了随集团规模 改变和随上一期收益率改变的集团部分分解羊群模型。这两个衍生模 型的提出，弥补了原始羊群模型中有关同一集团内所有经纪人由于羊 群行为的影响而采取同一策略这一与大部分现实并不相符的假设。同 时，大量的数值模拟表明，新的衍生模型产生了集团规模和收益率的 尖峰胖尾分布，这说明它们能较好地反映金融市场的动力学行为和特 性。 其次，考虑到经纪人的选择行为和经济学中的博弈论有着密不可 分的关系，本文进一步提出了一个带有博弈性质的集团部分分解羊群 模型，并通过数值模拟验证了其所产生的收益率具有幂率分布和尖峰 胖尾分布。由于羊群模型本身带有演化性质，因此，该模型可以划归 于当下的研究热点之一演化博弈的范畴，这也为今后羊群模型的进一 步研究开辟了一条新的道路。 关键词：羊群模型，经纪人，收益率，集团规模，模拟，演化博弈 II万方数据 II 万方数据 A CLUSTER-BROKEN-PARTIALLY HERDING MODEL WITH GAME ABSTRACT In this paper, we propose a cluster-broken-partially herding model with changes of sizes of clusters and a cluster-broken-partially herding model with changes of the last returns on the basis of EZ herding model separately, which modifies the EZ herding model’s hypothesis that all agents who belong to the same cluster will do the same action because of herding effect. The numerical calculation shows the two models currently produce the excess-volatility and fat-fail distribution and power distribution, which suggests that the two models exhibit some dynamics and behavior in the real markets. In addition, considering that there are intimate relationship between choices of agents and game theory in western economy, we propose the cluster-broken-partially herding model with game which produces the excess-volatility and fat-fail distribution and power distribution through numerical simulation. As the EZ herding model has dynamical character itself, the cluster-broken-partially herding model with game belongs to dynamical game, a hot point of research in modern society, which opens a new window for the further research on EZ herding model. KEY WORDS: herding model, agent, yield, size of cluster, simulation, dynamical game PAGE III PAGE III 万方数据 目 录 摘要 I ABSTRACT II 目录III 第一章 绪论 1 1.1 研究背景及意义………………………………………………………………………….1 1.1.1 研究背景1 1.1.2 研究意义1 1.2 研究现状………………………………………………………………………………….2 1.3 主要研究内容与方法…………………………………………………………3 1.3.1 主要研究内容…………………………………………………………………………………