保證金的有效性:智慧所扮演的角色

於本論文中，我們在代理人基人工股票市場﹙Agent-based Artificial Stock Market﹚的實驗架構下，檢驗了保證金準備制度﹙Margin Requirements﹚的有效性。人工代理人的行為模式是以人工智慧中遺傳規劃﹙Genetic Programming﹚的演算法來模擬。我們評量的依據包含其對股價與報酬之波動性﹙return volatility﹚等時間序列特性的影響，以及其和交易量間之關係。此外，我們欲驗證Gode and Sunder (1993) 的立論︰市場機制﹙market mechanism﹚在促進市場效率性中扮演著首要的角色，而非人類智慧所賦予之理性、推斷和學習等特質。換句話說，我們欲知單單使用保證金準備制度一項是否即已足夠在我們由具備人工智慧的代理人所形成之市場內確保市場效率的維持，一如預算限制在Gode and Sunder (1993) 那由無智慧代理人﹙Zero Intelligence Traders﹚所形成之市場內所具備的影響力一般。又或者，智慧在市場效率的促進上是扮演著至關重要的角色的。

關鍵字

智慧；保證金準備；市場效率；人工股票市場；雙向競價拍賣；代理人基塑模；遺傳演算法

並列摘要

In this paper, we examine the effectiveness of margin requirements based on the times series properties of price and return volatility as well as their relations with trading volume under the framework of agent-based artificial stock market in which trader' behavior is modeled by genetic programming. Moreover, we want to figure out that whether the use of margin requirements only, as part of the market mechanism, is sufficient for promoting the market efficiency in the market populated with intelligent GP-modeled traders, as the role the budget constraint played in Gode and Sunder's (1993) market populated with zero-intelligence traders---after all, the budget constraint employed in their experiment is a special case of the margin requirement, i.e. full margin, in the weak form, or the margin ineligibility in the strong form.

並列關鍵字

Intelligence ； Margin Requirements ； Market Performance ； Artificial Stock Market ； Double Auction ； Agent-Based Modeling ； Genetic Programming

參考文獻

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保證金的有效性:智慧所扮演的角色

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