基于主体模型的金融市场不稳定性研究
Instability of financial markets by optimizing investment strategies investigated by an agent-based model
摘要：
大多数金融研究都是在几个假设的基础上进行讨论的，例如，投资者理性地优化他们的投资策略。然而，这些假设本身有时也会受到批评。市场冲击，投资者的交易可能影响和改变市场价格，使优化成为不可能。在本研究中，我们建立了一个人工市场模型，通过添加技术分析策略代理搜索一个优化参数，以整个模拟运行到先前的模型，并研究是否投资者无法准确地估计他们的优化市场冲击导致优化不稳定。在我们的研究结果中，投资策略的参数从未收敛到一个特定的值，而是继续变化。这意味着即使所有其他交易者都是固定的，只有一个投资者会使用回测来优化他/她的策略，这导致市场价格的时间演变变得不稳定。最优化不稳定性是比“市场价格非均衡”高一个层次。因此，具有这种不稳定参数的投资策略所产生的市场价格的时间演变极不可能被预测，并且不可能有稳定的规律。这种性质使我们怀疑金融市场包含自然一致性原理，并表明建立解释价格时间演变的方程模型的困难。
英文摘要：
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of investors can impact and change market prices, making optimization impossible. In this study, we built an artificial market model by adding technical analysis strategy agents searching one optimized parameter to a whole simulation run to the prior model and investigated whether investors' inability to accurately estimate market impacts in their optimizations leads to optimization instability. In our results, the parameter of investment strategy never converged to a specific value but continued to change. This means that even if all other traders are fixed, only one investor will use backtesting to optimize his/her strategy, which leads to the time evolution of market prices becoming unstable. Optimization instability is one level higher than "non-equilibrium of market prices." Therefore, the time evolution of market prices produced by investment strategies having such unstable parameters is highly unlikely to be predicted and have stable laws written by equations. This nature makes us suspect that financial markets include the principle of natural uniformity and indicates the difficulty of building an equation model explaining the time evolution of prices.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
