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金融市场交易者学习行为的中等规模效应:多代理强化学习研究
Johann Lussange1, Stefano Vrizzi1, Stefano Palminteri1,2
1Laboratoire des Neurosciences Cognitives, Département des Études Cognitives, INSERM U960, Paris, France.
PloS one
|April 1, 2024
概括
个体交易员的特点对股票市场的稳定性有重大影响. 较高的学习率和群体行为增加了市场崩,而随机交易促进了稳定性,提供了对金融市场微观结构的洞察.
科学领域:
- 计算金融是一种计算金融.
- 行为经济学是一种行为经济学.
- 机器学习应用程序 机器学习应用程序
背景情况:
- 机器学习的进步为行为经济学和金融市场微观结构提供了新的研究途径.
- 了解个体交易者特征对于分析市场动态至关重要.
研究的目的:
- 通过使用多代理模拟来调查个人交易者特征对股票市场行为的影响.
- 分析学习率,群体行为和随机交易对市场稳定的影响.
主要方法:
- 开发一个具有多代理架构的股票市场模拟器.
- 代理商使用强化学习来通过双拍限量订单簿来交易股票.
- 对三个交易者特征进行系统测试:学习率,群体化和随机交易.
主要成果:
- 代理商学习率的增加与市场崩的频率更高显著相关.
- 交易者之间的群体行为明显破坏了整体市场稳定.
- 随机交易策略被发现有助于保持市场稳定.
结论:
- 交易员的特点,特别是学习率和群体化,是市场稳定性和崩频率的关键决定因素.
- 该研究强调了个人行为对金融市场的中等影响.
- 模拟结果为行为金融中的理论模型提供经验证据.
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