基于agent的期权市场仿真研究-管理科学与工程专业论文.docxVIP

ABSTRACTABSTRACT ABSTRACT ABSTRACT Option is a financial derivatives，and also an important part of the capital market．However，the capital market itself is a complex system，it has a lot of characters， such as large-scale， complex structure， nonlinear and many traders．Traditional economics tends to ignore the individual rational choice of the traders in the marker，but to follow the effectiveness of rational expectations and market assumptions．Therefore the direct use of mathematical methods or other methods of formal analysis to research the capital market has become relatively difficult．But with the use of system modeling and simulation methods can solve the problems faced by the traditional methods．So in this paper，after we analysis the trading mechanisms and the transaction process of the options market，we attempt through the use of Swarm—based modeling and simulation to bulid to model of the options market simulatie the trading process．So that we can research the relationship between the market and the micro．and macro-behavior to achieve the understanding and control of the complex system behavior． This paper conducts a comprehensive，systematic exposition the trading mechanism and the transaction process，then introduces the basic knowledge of Agent based on the continuous double auction market and the bidding process of the ZIP traders．We also discuss the decision—making process of the single Agent to lay a theoretical foundation for modeling in the other part．In the specific study of the market mechanism，we have chosen the very efficient continuous double auction market which is famous for its rate and eddiciency．The options market in the whole operating mechanism iS a continuous double auction market mechanism，SO it iS a meaningful way to the experiment． In the end of the paper，we introduce the Swarm platform，writes the simulation procedure through Swarm toolkit and analyses the result of simulation．And under the different combination of limit price and number o