應用ZEUS建構一個人造股票市場之多重代理人模擬系統

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姓名

呂英嘉(Ying-Jia Lu) 查詢紙本館藏

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資訊管理學系

論文名稱

應用ZEUS建構一個人造股票市場之多重代理人模擬系統
(Using ZEUS to Build a Multi-Agent Simulation System for Artificial Stock Market)

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摘要(中)

對於電腦模擬的金融市場模型來說，以代理人為基礎的模擬系統提供了一種新的研究方法。回顧過去十年來的這一類人造金融市場模型，其中最著名的莫過於由聖塔菲研究院（Santa Fe Institute）所提出的人造股票市場（Artificial Stock Market）模型。時至今日，已經有許多學者或研究對於此類模型提出修正與改進之處，但卻鮮少提及關於此類模型的模擬架構設計、或模擬系統建構方面的細節。雖然近年來已經有些研究在支持這方面的工作，但它們卻有一些共通的毛病，例如：所設計的系統缺乏互通性、可擴充性、便利性，以及友善的使用者介面等等。因此，本研究採用由英國電信（British Telecommunications）所開發的ZEUS多重代理人工具組來設計並實作一個ZEUS多重代理人模擬系統，稱之MASS-Z，並且從ZEUS方法論中衍生出一個MASS-Z架構。我們相信若應用多重代理人的工具來建構這類的系統，將能夠有效地改善前面所提到的那些缺點。此外，本研究也提出一個應用於金融市場的一般性模擬模型，進一步透過此一般性模擬模型與 MASS-Z 架構的對映方法，提供有效率的實作方式。我們相信本研究將有助於研究人員快速輕易地完成各種模擬系統的建構，並且對於不熟悉程式寫作的研究人員有所幫助。

摘要(英)

Agent-based simulation is a new approach to the study of computer simulated financial markets. For a review in the last decade, the most famous one among those proposed computer simulated artificial financial markets is the Santa Fe Artificial Stock Market (ASM). So far, many modifications of the ASM model have been made by research workers, but they rarely help with the actual details of designing a simulation framework or building a simulation system for it. Although there are some efforts supporting this kind of works recently, but generally, the common failings of them is the lack of interoperability, scalability, convenience and friendly user interface of the simulation system. Hence, in this paper, we use the ZEUS multi-agent toolkit to design and implement a Multi-Agent Simulation System, called MASS-Z, and we propose a MASS-Z architecture which extracted from ZEUS methodology. We believe that applying multi-agent toolkits to construct this kind of system will greatly reduce the drawbacks that we mentioned above. Besides, we also propose a general simulation model which is suitable for various financial market applications. And further we propose a mapping mode from the MASS-Z architecture to the general simulation model to provide an efficient way to implement the simulation applications. We believe that it will be a great help to the research workers to build many kinds of simulation systems readily and will be a contribution to the research workers who are not familiar with code writings.

關鍵字(中)

★ 以代理人為基礎之模擬
★ 人造股票市場
★ 多重代理人系統

關鍵字(英)

★ Agent-Based Simulation
★ Artificial Stock Market
★ Multi-Agent System
★ ZEUS

論文目次

Table of Contents
Abstract i
摘要 ii
Acknowledgements iii
List of Illustrations vi
List of Tables vii
1 Introduction 1
1.1 Research Motivations 2
1.2 Research Goals 2
1.3 Research Restrictions 2
1.4 Organization of this thesis 3
2 Background 4
2.1 Agent Concepts 4
2.1.1 What is an agent 4
2.1.2 The Essence of Agency 5
2.1.3 The formal definitions of autonomous agent and intelligent agent 6
2.1.4 The differences between agents and objects 7
2.2 Agent-Based System 8
2.3 Agent-Based Social Simulation 9
2.4 Artificial Stock Market 11
2.4.1 The History of the SFI-ASM 11
2.4.2 The SFI-ASM Basic Structure 12
2.5 Agent Toolkits 14
2.6 Complex Adaptive System 17
3 Multi-Agent Simulation System 19
3.1 ZEUS Methodology 19
3.1.1 The Collaboration between agents 19
3.1.2 ZEUS Toolkit Architecture 21
3.1.3 Domain Analysis Process 23
3.1.4 Agent Design Process 26
3.1.5 Agent Realization Process 28
3.2 Simulation Methodology 29
3.2.1 Emergent Phenomena 30
3.2.2 Top-Down versus Bottom-Up Approaches 31
3.3 MASS-Z 33
4 Simulation Model Design 37
4.1 Simulation Framework 37
4.2 Market Module 39
4.3 Participant Module 40
4.3.1 The Formation of Expectation 41
4.3.2 The Trader Agents’ Learning with Genetic Programming 42
4.4 Price Discovery Mechanism 45
5 System Implementation 47
5.1 Specification 47
5.2 Application Analysis 47
5.2.1 Select Role Model 47
5.2.2 List Agent Responsibilities 48
5.3 Application Design 50
5.3.1 Problem Design 50
5.3.2 Knowledge Modeling 53
5.4 Application Realization 53
5.4.1 Ontology Creation 54
5.4.2 Agent Creation 55
5.4.3 Utility Agent Configuration 57
5.4.4 Task Agent Configuration 57
5.4.5 Code Generation and Agent Implementation 58
6 Conclusions 59
References 61

參考文獻

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指導教授

林熙禎(Shi-Jen Lin)

審核日期

2003-7-7

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