基于主体的计算金融学将金融市场看作是复杂适应系统,采用基于主体的方法“自底向上”地对个体投资者微观的相互作用导致市场宏观特性的涌现过程进行建模,并利用计算机进行仿真,以从根源上探究金融市场的复杂动力学原理。这一新的研究范式,不但可以包容已有的金融学理论,而且还可以产生更接近真实的仿真结果。论文介绍了其发展背景、研究思路、研究内容、当前研究的不足及未来的发展方向等。
In agent-based computational finance (ACF), finance market is treated as a complex adaptive system and agent-based approach is used to bottom-up model the process where the micro interactions between individuals lead to macro features of market. The agent-based computational model is simulated on the computer to probe into the complex dynamics of finance market by the roots. As a new study pattern, ACF not only contains the traditional finance theories, but its simulation results show statistic features similar to actual time series. This paper introduces ACF's background, research course, current state and possible trends in the future.