用解耦法检测实验中产生的推测气泡 基于agent的模型

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摘要翻译：
证明投机性金融泡沫的存在，即使是事后证明，也是极其困难的，因此，事先预测投机性泡沫，起初似乎是一项不可能完成的任务。不过，正如最近由所谓的次贷危机引发的金融市场动荡所表明的那样，我们显然迫切需要新的工具来理解和处理金融投机泡沫。与快速增长时期相比，市场动态的性质在投机泡沫期间发生了深刻的变化，在投机泡沫中，自成一体的策略往往导致无条件的购买。因此，一个关键的问题是，这种特征是否可以量化，如果可以，则用于理解什么是制造投机泡沫的充分和必要条件。在这里，我们展示了一种新的技术，基于基于agent的模拟，给出了一个由反馈产生的交易选择分离的稳健度量，并在人类实验中预测了投机泡沫的开始。我们使用从人类实验中获得的交易数据作为计算机模拟人工代理的输入，这些人工代理使用从博弈论定义的自适应策略....
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英文标题：
《Detecting speculative bubbles created in experiments via decoupling in
  agent based models》
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作者：
Magda Roszczynska, Andrzej Nowak, Daniel Kamieniarz, Sorin Solomon and
  Jorgen Vitting Andersen
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  Proving the existence of speculative financial bubbles even a posteriori has proven exceedingly difficult so anticipating a speculative bubble ex ante would at first seem an impossible task. Still as illustrated by the recent turmoil in financial markets initiated by the so called subprime crisis there is clearly an urgent need for new tools in our understanding and handling of financial speculative bubbles. In contrast to periods of fast growth, the nature of market dynamics profoundly changes during speculative bubbles where self contained strategies often leads to unconditional buying. A critical question is therefore whether such a signature can be quantified, and if so, used in the understanding of what are the sufficient and necessary conditions in the creation of a speculative bubble. Here we show a new technique, based on agent based simulations, gives a robust measure of detachment of trading choices created by feedback, and predicts the onset of speculative bubbles in experiments with human subjects. We use trading data obtained from experiments with humans as input to computer simulations of artificial agents that use adaptive strategies defined from game theory....
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PDF链接：
https://arxiv.org/pdf/0806.2124

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关键词：agent Age Quantitative Anticipating speculative bubble 产生 speculative use 任务