Research on Mechanism of Transmission on Impact of Emergency to Chinese Stock Market Based on Heterogeneous Agent Model

机译：基于异构Agent模型的突发事件对中国股市冲击的传导机制研究

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The impact of the emergency on the stock market mainly performs at the variation of confidence of investors. The traditional financial theories consider that the direction of the variation is consistent, but it does not conform to the real situation of markets. This paper applied heterogeneous analytical approach which is based on behavioral finance to research the behavior of investors, then to construct the Heterogeneous Agent Model (HAM) of impact of emergency on Chinese stock market. In order to verify the conclusion of this model, this article selected the closing price of Shanghai Composite Index to estimate the parameters of HAM. Firstly, we constructed the multi-objective parameter optimization model. Secondly, we utilized the simulation method to study the different influences of internal characteristics of emergency on investor behavior and market performance. The simulation results showed that the internal characteristics of emergency had significant impact on investor behavior in Chinese stock market, and then affected the market performance after the outbreak of emergency.

机译：紧急情况对股票市场的影响主要表现在投资者信心的变化上。传统的金融理论认为变化的方向是一致的，但并不符合市场的实际情况。本文运用基于行为金融的异质分析方法研究了投资者的行为，然后构建了突发事件对中国股票市场的影响的异质代理模型（HAM）。为了验证该模型的结论，本文选择了上证指数的收盘价来估计HAM的参数。首先，我们建立了多目标参数优化模型。其次，我们利用仿真方法研究了突发事件内部特征对投资者行为和市场表现的不同影响。仿真结果表明，突发事件的内部特征对中国股票市场的投资者行为产生了重大影响，并在突发事件爆发后影响了市场表现。

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《International Conference on Management Science and Engineering》|2017年|418-424|共7页
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Wu Xian-Bo; Feng Jin; Chen Yong;
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Mathematical model; Stock markets; Finance; Market research; Investment; IP networks; Government;

机译：数学模型;股票市场;金融;市场研究;投资; IP网络;政府;

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2. An Agent-Based Computational Model for China's Stock Market and Stock Index Futures Market [J] . Hai-Chuan Xu, Wei Zhang, Xiong Xiong, Mathematical Problems in Engineering . 2014,第pta8期

机译：中国股市和股指期货市场的基于代理的计算模型
3. An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market [J] . Hai-ChuanXu, WeiZhang, XiongXiong, Mathematical Problems in Engineering: Theory, Methods and Applications . 2014,第1期

机译：中国股市和股指期货市场的基于代理的计算模型
4. Research on Mechanism of Transmission on Impact of Emergency to Chinese Stock Market Based on Heterogeneous Agent Model [C] . Wu Xian-Bo, Feng Jin, Chen Yong International Conference on Management Science and Engineering . 2017

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5. Agent based simulation of China's urban demographics: Impacts on the real estate market. [D] . Xie, Xiaodian. 2013

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7. Financial Development and the Distributional Effects of Monetary Policy Do the distributional consequences of monetary policy depend on the extent of financial development? Should optimal monetary policy vary across countries? In order to answer these questions, we develop a monetary growth production model with heterogeneous agents. In our economy, optimal policy needs to weigh the effects of policy across two groups — capital owners and individuals who hold liquid assets. While banks help limit the exposure to inflation, there are limits because money alleviates the frictions of private information and limited communication. In this environment, we compare two economies that are identical in every aspect except for their level of financial development. In a country with limited financial development, a stock market is absent. In the other, an equity market is active. In either economy, inflation adversely affects capital formation and output. Individuals who hold liquid assets are always adversely affected by inflation, but the attitude of capital owners depends on the level of financial development. In particular, in the presence of a stock market, the impact of inflation on the welfare of capital owners is non-monotonic. Nevertheless, optimal monetary policy is always more conservative at higher levels of financial development. [O] . TINA M. Edgar A. Ghossoub, TINA M. Robert R. Reedy 100

机译：金融发展和货币政策的分配效应货币政策的分配后果是否取决于金融发展的程度？各国的最优货币政策应该不同吗？为了回答这些问题，我们开发了一个具有异构代理的货币增长生产模型。在我们的经济中，最优政策需要权衡两个群体的政策效应 - 资本所有者和持有流动资产的个人。虽然银行帮助限制通胀风险，但存在限制，因为资金减轻了私人信息的摩擦和有限的沟通。在这种环境下，我们比较两个经济体在各个方面都是相同的，除了它们的金融发展水平。在金融发展有限的国家，缺乏股票市场。另一方面，股票市场活跃。在任一经济体中，通胀都会对资本形成和产出产生不利影响持有流动资产的个人总是受到通货膨胀的不利影响，但资本所有者的态度取决于金融发展的水平。特别是，在股票市场存在的情况下，通货膨胀对资本所有者福利的影响是非单调的。尽管如此，在较高的金融发展水平下，最优货币政策总是更加保守。

Research on Mechanism of Transmission on Impact of Emergency to Chinese Stock Market Based on Heterogeneous Agent Model

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