Agent-Based Framework in Artificial Stock Market:Trading Strategy Based on the Risk Tolerance

机译：人工股票市场中基于主体的框架：基于风险承受力的交易策略

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Artificial stock markets are models of real stock markets,designed with the aim to study market dynamics that including all individuals' behaviors that related to the systems.The dynamics that want to be modeled in this study is about the investors risk tolerance,and which risk tolerance strategies that succeed in stock market trading.Based on the simulation of the model,different risk level will result in different profit or loss condition.And this model is able to proof the theory about the type of risk:the risk taker,risk averse,and risk indifferent.

机译：人工股票市场是真实股票市场的模型，旨在研究包括与系统相关的所有个人行为在内的市场动态。本研究中要建模的动态是关于投资者的风险承受能力以及哪些风险股票市场交易成功的风险承受策略。基于该模型的仿真，不同的风险水平将导致不同的损益条件。该模型能够证明有关风险类型的理论：风险承担者，规避风险，并且无动于衷。

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《PAN-PACIFIC CONFERENCE XXVI（“战略创新、协作融合”泛太平洋管理学会第26届年会）》|2009年|309-311|共3页
会议地点 Shenzhen(CN)
作者
WibowoMaharani;
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Institut Teknologi Bandung Maharani Wibowo,Institut Teknologi Bandung,Jl.Ganesha 10 Bandung West Java Indonesia 40132;

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正文语种 eng
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1. Liquidity cost of market orders in the Taiwan Stock Market: A study based on an order-driven agent-based artificial stock market [J] . Yi-Ping Huang, Shu-Heng Chen, Ming-Chin Hung, International Review of Financial Analysis . 2012,第Juna期

机译：台湾股票市场中市场订单的流动性成本：基于以订单驱动的基于代理的人工股票市场的研究
2. Using realistic trading strategies in an agent-based stock market model [J] . Llacay Barbara, Peffer Gilbert Computational & Mathematical Organization Theory . 2018,第3期

机译：在基于代理的股票市场模型中使用现实的交易策略
3. Tick size and market quality: Simulations based on agent-based artificial stock markets [J] . Xinhui Yang, Jie Zhang, Qing Ye International journal of intelligent systems in accounting, finance & management . 2020,第3期

机译：蜱型和市场质量：基于基于代理的人工股票市场的模拟
4. Agent-Based Framework in Artificial Stock Market:Trading Strategy Based on the Risk Tolerance [C] . Pan-pacific conference on strategic innovation through collaboration and convergence . 2009

机译：基于代理的人工股市框架：基于风险耐受性的交易策略
5. Machine Learning Based Trading Strategies for the Chinese Stock Market [D] . ?Du, Juan 2020

机译：基于机器学习的中国股市交易策略
6. Study on Market Stability and Price Limit of Chinese Stock Index Futures Market: An Agent-Based Modeling Perspective [O] . Xiong Xiong, Ding Nan, Yang Yang, -1

机译：基于Agent的中国股指期货市场市场稳定性和价格限制研究
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

Agent-Based Framework in Artificial Stock Market:Trading Strategy Based on the Risk Tolerance

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