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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/96440


    Title: 財務時間序列中非線性特質的Agent-Based 基礎 : 遺傳規劃的應用
    Authors: 郭子文
    Contributors: 陳樹衡
    郭子文
    Date: 1998
    Issue Date: 2016-05-11
    Abstract: 本論文先以Pagan(1996)所整理的實證結果為代表,對實際金融市場資料常具有的典型特質及其相關的檢定作介紹;接著嘗試建構一個簡單的經濟模型,在沒有很多的外生條件設定下,由模型內生的產生實際金融市場資料常具有的典型特質,本文應用Koza(1992)所發展的遺傳規劃(Genetic Programming)為工具,建立一個具有異質性、調適性的多決策者模型架構,模擬一個含生產者與投機者的人工市場,讓生產者、投機者的行為內生決定,並利用計量檢定分析此市場具有哪些實際市場常見的典型特質,並探討這些特質和經濟制度之間的關聯性。
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    [2] Arthur W. B, J. H. Holland, B. LeBaron, R. Palmer, and P. Tayler (1 996),“Asset
    Pricing Under Endogenous Expectations in an Artificial Stock Market," Santa Fe
    Institute SSRl Working Paper #9625 .
    [3] Barnet, William A., A. Ronald Gallant, Melvin J. Hinich, Jochen A. Jungeilges,
    Daniel T. KapJan, and Mark 1. Jensen (1996),“A Single-Blind Controlled
    Competition Among Tests for Nonlinearity and Chaos", Working Paper
    [4] Bollerslev, T. (1 986),“Generalized Autoregressive Conditional Heteroskedasticity,"
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    [5] Brock, W. A., W. D. Dechert, B. LeBaron, and J. Scheinkman (1996), "A Test for
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    [10] Kaplan, Daniel T. (1 994), “ Exceptional Events as Evidence for Determinism",
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    [15] Lux, T. (1 997) ,”Vlatility Clustering in Financial Markets: A Micro-Símulation
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    Description: 碩士
    國立政治大學
    經濟學系
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G91NCCU5882012
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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