本論文延伸Levy, Levy, and Solomon (2000)模型架構，藉由其模型探討兩種情況。第一，本論文希望能觀察在不同情況下，投資者的記憶長度對市場的影響；第二，當市場上投資者彼此間差異性越小時，是否會如同Levy, Levy, and Solomon (1994)一樣的情況使市場上的價格變動更為劇烈。為探討以上兩種情況進行了四種實驗的模擬，（一）增加效率市場信徒的投資者(Efficient market believer, EMB)比例（二）改變效率市場信徒的效用函數（三）改變投資者記憶長度的參數（四）減少投資者彼此間的差異。其結果:當在第一種情況下記憶長度較短的更快掌握市場，而第二和第三則記憶長度較短的投資者最後雖仍掌握市場，但是掌握市場的時間延後了；當減少投資者彼此間的差異時，市場上的價格如同Levy, Levy, and Solomon (1994)一樣。

This paper extends Levy, Levy, and Solomon (2000) model framework, and investigates two cases of the model. First, we want to observe under different circumstances, investors’ memory impact on the market; second, The smaller difference between the investors, the greater the price volatility, whether as Levy, Levy, and Solomon (1994) the situation as the market price changes is more violent.
   To explore the above two experiments conducted four simulations, (a) increasing the efficient market believers investors (EMB) ratio (b) change the efficient market believers investors’ utility function (c) change the memory length of the investors parameter (d) reduce the differences among investors. The result: in the first case, when the increase the number of efficient market believers investors, the short memory investors become faster to grasp the market;in the second and the third case, the shorter memory investors still control the market in the last, but they spent more time to grasping the market; the last case, when we reduced differences between investors, the market price as the Levy, Levy, and Solomon (1994) as become more violent.

目錄I
表目錄II
圖目錄III
第一章 緒論1
11研究動機與目的1
12 本文架構5
第二章 LLS模型的設定6
21環境設定6
22投資者設定7
23交易設定9
第三章 模擬結果1
31標竿模型的結果11
32 LLS模型包含少量的EMB投資者14
321同質性EMB投資人15
322兩種EMB投資人18
323異質性的EMB投資者21
33 損失趨避EMB投資者和原始投資者之比較24
34 兩種EMB投資人之延伸與探討27
341增加EMB投資者的比例27
342變更效用函數	29
343改變長短期記憶長度的參數32
35 干擾項之標準差不同比較35
第四章 結論37
參考文獻	39

表 1 期初設每位投資者參數設定10
表 2 市場參數設定10
表 3 報酬率自我相關,標竿模型12
表 4 報酬率自我相關, 5%EMB 投資者(m = 10)；95%RII 投資者16
表 5 價格波動, 2% EMB(m = 5),2% EMB(m = 15)；96% RII 18
表 6 報酬自我相關, 22% EMB(m = 5),2% EMB(m = 15)；96% RII 19
表 7 報酬率自我相關, 10%EMB 投資者,90%RII,投資,m= 40,mσ= 10；90%RII 投資者22
表 8 絕對報酬率和交易量回歸結果異質性的EMB 投資者(10%EMB 投
資者，90%RII 投資者) 24
表 9 價格波動比較,損失趨避EMB投資者和原始的EMB投資者(5％異質性EMB) 25
表 10 交易量和絕對報酬比較, 5％異質性損失趨避EMB 投資者和原始異質性EMB 投資者25
表 11 報酬率自我相關,原始的EMB 投資者損失趨避EMB 投資者(5％異質性EMB 投資者)26
表 12 價格波動比較, 損失趨避2% EMB(m = 5),2% EMB(m = 15)；96% RII 30
表 13 報酬率自我相關,損失趨避EMB 投資者2% EMB(m = 5),2%,EMB(m = 15)；96% RII 30
表 14 價格波動, 2% EMB(m = 15),2% EMB(m = 30)；96% RII 32
表 15 報酬率自我相關, 2% EMB(m = 15),2% EMB(m = 30)；96% RII 33
表 16 不同干擾項下之價格波動比較 (異質性EMB 投資者10%) 36
表 17 不同干擾項下之交易量比較, (異質性EMB 投資者10%) 36
表 18 異質性EMB 投資者在不同干擾項之交易量和絕對報酬比較(異質性EMB 投資者10%)  36

圖1 價格動態,標竿模型12
圖 2 報酬自我相關,標竿市場13
圖3 價格動態,同質性EMB 投資者，5%EMB(m = 10)投資者；95%RII投資者16
圖4 價格動態，同質性EMB 投資者，兩個模擬情形-和圖3 一樣參數，股利形成過程相同16
圖 5 報酬率自我相關,5%EMB(m = 10)投資者；95%RII 投資者18
圖 6 價格動態, 2% EMB(m = 5),2% EMB(m = 15)；96% RII 19
圖 7 投資者占總資產比例, 2% EMB(m = 5),2% EMB(m = 15)；96% RII 19
圖 8 報酬率自我相關, 2% EMB(m = 5),2% EMB(m = 15)；96% RII 21
圖 9 價格動態, 異質性的EMB 投資者(10%EMB 投資者，90%RII 投資者) 21
圖 10 報酬率自我相關,10%EMB(m = 10)投資者，90%RII 投資者23
圖 11 價格動態，原始EMB 投資者和損失趨避EMB 投資者比較(5%異質EMB 投資者) 25
圖 12 報酬自我相關，損失趨避EMB投資者和原始EMB投資者比較(5%異質EMB 投資者) 27
圖 13 投資者占總資產比例, 4% EMB(m = 5),4% EMB(m = 15)；92%RII 28
圖 14 投資者占總資產比例, 8% EMB(m = 5),8% EMB(m = 15)；84%RII 28
圖 15 投資者占總資產比例, 16% EMB(m = 5),16% EMB(m = 15)；68% RII  28
圖 16 投資者占總資產比例, 32% EMB(m = 5),32% EMB(m = 15)；36% RII 29
圖 17 報酬率自我相關, 以EMB 投資者不同比例29
圖 18 價格動態, 損失趨避2% EMB(m = 5),2% EMB(m = 15)；96% RII 30
圖 19 投資者佔總資產比例, 損失趨避2% EMB(m = 5),2%EMB(m = 15)；96% RII 30
圖 20 報酬率自我相關, 損失趨避2% EMBm = 5 ,2% EMBm = 15 ；RII:96%  32
圖 21 價格動態, 2% EMB(m = 15),2% EMB(m = 30)；96% RII 32
圖 22 佔總資產比例, 2% EMB(m = 15),2% EMB(m = 30)；96% RII 33
圖 23 報酬率自我相關, 2% EMB(m = 15),2% EMB(m = 30)；96% RII 34
圖 24 交易量率自我相關比較, 2% EMB（m = 5）,2% EMB（m = 15）和2% EMB（m = 15）,2% EMB（m = 30）36
圖25 交易量和絕對報酬之比較, 2% EMB（m = 5）,2% EMB（m = 15）和2% EMB（m = 15）,2% EMB（m = 30）36
圖 26 報酬自我相關，異質性投資者在不同干擾項下的比較 37

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