بررسی تورش توده‌واری و اثر آن بر قیمت‌گذاری سهام با استفاده از شبیه‌سازی عامل بنیان و الگوریتم STGP
فصلنامه بورس اوراق بهادار

فصلنامه بورس اوراق بهادار

بررسی تورش توده‌واری و اثر آن بر قیمت‌گذاری سهام با استفاده از شبیه‌سازی عامل بنیان و الگوریتم STGP

نوع مقاله : مقاله پژوهشی

نویسندگان
1 دانشجوی دکتری، گروه حسابداری، دانشکده علوم انسانی، واحد قائمشهر، دانشگاه آزاد اسلامی، قائمشهر، ایران.
2 استادیار، گروه حسابداری، دانشکده علوم انسانی، واحد قائمشهر، دانشگاه آزاد اسلامی، قائمشهر، ایران.
چکیده
هدف پژوهش حاضر، بررسی تورش توده‌واری و مکانیسم قیمت‌گذاری متأثر از آن، با استفاده از شبیه‌سازی عامل بنیان و الگوریتم تکاملی-تطبیقی STGP است. بدین منظور، درمجموع تعداد 2000 عامل مجازی، در دو گروه، شامل یک زیرمجموعه کوچک از کل جمعیت به نام «بهترین عوامل» و یک گروه اصلی به نام سایر «عوامل مجازی» (باقی‌مانده جمعیت پس از کسر بهترین عوامل)، اطلاعات واقعی مربوط به قیمت بازگشایی و بسته شدن، کمترین و بیشترین قیمت، حجم و ارزش معاملات هر سهم را دریافت و در یک بازار مجازی، به معامله می‌پردازند. معاملات عوامل مجازی، سری قیمتی را به‌صورت درون‌زاد ایجاد می‌کند که ازآن‌جهت آزمون فرضیات استفاده می‌گردد. آموزش نرم‌افزار، به مدت 2500 روز معاملاتی است که از آبان 82 شروع می‌گردد. دوره آزمون نیز از ابتدای سال 92 تا آذر 97 می‌باشد. نتایج بیانگر این است که به دلیل تنوع ژنتیکی بالا، وجود استراتژی‌های معاملاتی متنوع و انسجام بیشتر ناشی از مکانیسم‌های قیمت‌گذاری رقابتی و تکاملی یک بازار کامل، رفتار توده‌ای در بازارهای مجازی مبتنی بر معاملات گروه اصلی، نسبت به بازارهای مبتنی بر معاملات بهترین عوامل، کمتر مشاهده می‌گردد. بعلاوه، در بلندمدت به دلیل جریان مداوم اطلاعات، رفتار توده‌ای منجر به تشکیل حباب یا سقوط قیمتی نمی‌گردد و قیمت‌ها به ارزش ذاتی خود بازمی‌گردند.
کلیدواژه‌ها

عنوان مقاله English

Herd Behavior Experimental Testing and its Effect on Stock Pricing Using Agent-Based Simulation and STGP Algorithm

نویسندگان English

Saeideh sarkamaryan 1
ali jafari 2
abbasali pouraghajan 2
1 PhD Student, Department of Accounting, Faculty of Humanities, Ghaemshahr Branch, Islamic Azad University, Ghaemshahr, Iran.
2 Assistant Professor, Department of Accounting, Faculty of Humanities, Ghaemshahr Branch, Islamic Azad University, Ghaemshahr, Iran.
چکیده English

The aim of this study is to investigate herding behavior bias and its impact on pricing mechanism using STGP algorithm and agent based simulation. For this purpose, 2000 virtual agents that categorized in two groups include a small subset of the total population called "Best agents" and a main group called other "Virtual agents" (the rest of the population after deducting the best agents), receive 2500 real historical quotes (the opening and closing price, the lowest and highest prices, volume and value of transactions) of the financial instruments and would trade virtual market. Virtual agent transactions create a price range in the form of endogenous ones that are used to test hypotheses. Software training is for 2500 days of transactions starting from October 2003. The exam period is June 2013 to December 2018. The results indicate less herding behavior in the groups of Virtual agents, due to the high genetic diversity, the existence of diverse trading strategies and greater coherence due to mechanisms Competitive and evolutionary pricing of an entire market, but herding behavior does not cause for mispricing of assets, bubble and crash in the long run and prices return to their intrinsic value.

کلیدواژه‌ها English

Virtual Stock Market
Genetic Programming
Herding behavior
Bubbles
Agent- Based Modeling
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