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借助基于agent的计算模拟,考察有限注意、盯市策略对agent财富动态与生存状况的影响,通过模拟微观的投资者行为从而得到宏观的市场运行结果。基于一个资产定价模型引入了两类投资者,即趋势交易者和基础交易者,通过调整交易费用及初始财富值进行模拟,以对比不同前提条件下,投资策略对投资者财富和生存情况的影响。模拟结果发现:当设置的交易费用与现实一致时,对两类投资者来说,有限注意策略优于盯市策略。
With the aid of agent-based computational simulation, this paper investigates the impact of the limited attention and the market-to-market strategy on the dynamics and survival of the agent wealth, and obtains the macro market operation results by simulating the micro-investor behavior. Based on an asset pricing model, two types of investors, namely trend traders and basic traders, are introduced to simulate the transaction costs and initial wealth to compare the impact of investment strategies on the wealth and survival of investors under different preconditions . The simulation results show that, when the set transaction costs are consistent with the reality, the limited attention strategy is better than the market-to-market strategy for both types of investors.