通过可插拔机制实验，拆解了金融市场演化中的关键控制因素。
Decomposing Financial Market Dynamics via Mechanism Analysis in an Evolutionary Multi-Agent Simulation
- 设计可切换的四类机制，隔离分析其对市场行为的影响。
- 选择机制提升策略多样性，价格反馈机制增强市场真实感。
- 行为偏差加剧系统脆弱性，但不影响市场真实性，适合金融风险研究者。
演化型基于代理的金融市场模型（ABMs）融合了多种机制——谁繁殖、价格如何形成、代理的偏见程度、共识传播方式等——但这些机制通常固定不变，难以明确各机制对涌现特征的贡献。本文在包含120个异质行为代理的共演化、内生价格模拟器中，使四个机制可插拔，并进行3×20次种子干预。结果表明，这些调控杠杆基本独立：(1) 选择机制影响多样性：采用质量-多样性（QD/MAP-Elites）算子显著提升策略混合熵（配对熵增+0.27至+1.12比特；p<0.001；置信区间不含0），并维持更高策略轮换（危机期增幅最大：Δ=+0.070，p=0.0004）；(2) 选择机制不提升现实性：即使使用每代理真实度奖励引导选择，也未显著提升五要素真实度（Δ₅=-0.11,-0.08,+0.03；不显著）；(3) 微结构机制提升现实性：启用反射式价格反馈后真实度上升（Δ₅=+0.13,+0.20,+0.20；危机/牛市期p<0.05，所有置信区间为正）；(4) 行为机制导致脆弱性：放大行为偏见会显著提高基因组脆弱性代理值（Δ=+10.5,+11.1,+14.4；牛市期p<0.001，所有置信区间为正），而真实度保持稳定。剩余机制——共识网络拓扑——无显著影响（诚实零效应）。贡献在于实现机制分解：在单机制扫描中，各机制近似作为独立控制旋钮分别调节多样性、真实性和脆弱性。
原文摘要 · Abstract (English)
Evolutionary agent-based markets (ABMs) couple several mechanisms -- who reproduces, how price forms, how biased the agents are, how consensus propagates -- yet these are usually fixed by convention, so it is unclear which mechanism controls which emergent property. In a coevolving, endogenous-price simulator with 120 heterogeneous behavioral agents, we make four mechanisms pluggable and run matched 3x20-seed interventions. We find the levers are largely separable. (1) Selection -> diversity: a Quality-Diversity (QD/MAP-Elites) operator robustly raises strategy-mix entropy over truncation top-k (paired Delta entropy +0.27 to +1.12 bits; sign-test p<0.001; CIs exclude 0) and sustains more strategy cycling (strongest in crisis: Delta=+0.070, p=0.0004). (2) Selection does not improve realism: even a per-agent realism reward that provably steers selection does not raise 5-fact realism (Delta_5=-0.11,-0.08,+0.03; not significant). (3) Microstructure -> realism: enabling reflexive price feedback does raise realism (Delta_5=+0.13,+0.20,+0.20; crisis/bull p<0.05, all CIs positive). (4) Behavior -> fragility: amplifying behavioral bias raises a genomic fragility proxy (Delta=+10.5,+11.1,+14.4; bull p<0.001, all CIs positive) while leaving realism flat. The remaining mechanism -- consensus network topology -- shows no robust effect (honest null). The contribution is a decomposition: in these single-mechanism sweeps the mechanisms behave as approximately distinct control knobs over diversity, realism, and fragility.
Thank you to arXiv for use of its open access interoperability. PaperDance 不是 arXiv 官方产品；中文卡片由大模型生成，请以原文为准。