EN

学术动态

当前位置: 首页 > 科学研究 > 学术动态 > 正文

【北航经管学术论坛】张军欢副教授讲座通知

来源: | 发布时间:2016-10-17| 点击:

题目Influence of individual rationality on continuous double auction markets with networked traders

主讲人:张军欢 副教授

时间1026日,15:00

地点:新主楼A1040

 

摘要:

This paper investigates the influence of individual rationality of buyers and sellers on the market outcomes in terms of the proportion of boundedly-rational buyers and sellers. Traders are connected in six different canonical networks including no-network. They are able to automatically select the most profitable trading strategy based on individual and social learning of the profits of themselves and their neighbours, and automatically submit orders to continuous double auction markets. This question is addressed by an agent-based model called the Social Network Artificial stock market (SNACK), which takes into account the factors of individual rationality of traders, influence of networks between traders, reinforcement learning, and automated trading on their decision making processes. The results show that both individual rationality of traders and traders’ social learning behavior can impact market price, number of trades, buyers’ profit, sellers’ profit, and market allocative efficiency. There is a strong fourier function relationship between the sorted sellers’ (or buyers’) profit and sorted sellers (or buyers).

 

 

主讲人简介:

张军欢,现为9999js金沙老品牌金融学副教授,伦敦国王学院计算金融学博士,美国佐治亚大学博士后,兼任伦敦国王学院计算金融学/经济学客座研究员。主要研究方向:金融、经济与计算机科学(人工智能)的交叉应用,计算与行为金融学,自动交易与量化投资,金融市场的微观结构、多主体建模、社会网络分析、预测与风险管理, 资产定价与不确定性投资决策,金融创新,机器学习等。

 

 

经管学院科研办

2016-10-17