文章使用真人實驗軟體，進行模擬交易。利用兩種極端代理人，分別為基本價值交易者(fundamental analysis trader)與零智慧交易者(zero-intelligence traders)。資產市場實驗是具有完全資訊，交易者知道資產基本價值，每次交易市場為九名交易者進行交易。總共有九個實驗，每個實驗進行24次資產交易。當交易者雖然稟賦總資產相同，但稟賦型態不同，即一開始交易者股票與實驗貨幣比例不同，是否就已經對於資產價格變動與投資者報酬有所影響。另外對於投資者的經驗、基本價值交易者的影響予以探討。

實驗結果，投資者稟賦型態不同，交易者平均報酬明顯不同。主要以高現金、低股票的稟賦型態交易者平均報酬較高於另外兩種稟賦型態投資者。一開始現金較多的投資者，可以選擇賣股票且買股票也有較多的實驗貨幣，相形之下，較為有利。對於資產價格變動的影響，效果不明顯。另外，交易者藉由交易經驗學習，會參考過去資訊，進行交易策略，會使資產交易價格趨近資產基本價值，泡沫規模減少且提前。基本價值交易者，有導正市場價格趨近基本價值的能力，當基本價值人數增加，價格趨近基本價值效果更明顯。

然而，當市場基本價值交易者人數超過非基本價值交易者，非基本價值交易者報酬不會低到無法交易。相反，當市場非基本價值交易者人數超過基本價值交易者，基本價值交易者報酬也不會低到無法交易。另外，資產價格波動程度大的市場相對於資產價格波動程度小的市場，交易者平均報酬會顯著較高。

This study applies z-tree to simulate trading in asset market. We design two types of software traders/agent, one is fundamental-value trader and the other is zero-intelligence trader. The asset market is composed of nine traders who have complete information and all of them should know the fundamental value of assets. We completed nine market experiments and each experiment has 24 repeated sessions. Each trader has identical endowment. However, the composite of the endowments is different. The proportion of stock number and experiments money is initially different. The different affects the change of asset price and investment return. In our study, we will focus on the influence caused by experienced investors and fundamental-value traders 

The experiment results show that different composites of endowments induce different average returns for traders. Those who have endowment with high cash and low stock number will get higher average returns than other composite of endowments. It’s good for investors who have plenty of cash because they can choose to buy stocks with lower price from the beginning and sell them with high price in the end, and then earn more experimental currency. It isn’t significant for the effect of the asset price of change, when traders’ endowments are different. In addition, investors refer to the information in the past as their investment strategy that brings about the asset price is approximately equal to asset fundamental value, and the bubble size is decreasing or being beforehand. Fundamental value traders lead the market prices close to fundamental values. When the fundamental value price is closer to fundamental values, it will be more effective. 

However, when the numbers of fundamental value traders are more than the numbers of the non-fundamental value traders, the returns of non-fundamental value traders are not low enough to carry out transactions. On the contrary, when the numbers of the non-fundamental value traders are more than the numbers of fundamental value traders, the returns of fundamental value traders are not low enough to carry out transactions. The traders'average returns are significantly higher in the markets with larger fluctuation of asset price than the smaller ones.

目錄

第一章緒論	                1
1.1研究動機	                1
1.2研究目的	                3
第二章文獻回顧	                5
2.1真人交易者資產市場實驗	6
2.1.1市場機制	                6
2.1.2股利	                7
2.1.3預測	                7
2.1.4市場結構	                9
2.1.5經驗	               10
2.2電腦模擬交易者資產市場實驗  11
2.3本章結論	               16
第三章 實驗設計	               19
3.1實驗說明	               19
3.2市場說明	               20
3.2.1單一資產市場	       20
3.2.2資產市場交易機制	       20
3.2.3資產市場交易者	       21
3.3實驗主要架構	               23
3.3.1實驗流程安排	       23
3.3.2股利過程	               23
第四章 實驗結果	               25
4.1真人實驗與隨機模擬的差異	25
4.1.1市場指標	28
4.2稟賦持有比例的影響	47
4.3基本價值交易者對市場的影響	54
4.3.1基本價值交易者人數對市場的影響	54
4.3.2非基本價值交易者離開市場？	55
4.3.3基本價值交易者被市場淘汰	56
4.3.4市場指標值與基本價值交易者報酬相聯性？	59
第五章 結論與未來研究	61
5.1結論	61
5.2未來研究發展	64
參考文獻	66
附錄	71
表目錄

表2- 1 真人實驗雙邊拍賣市場機制環境設定	17
表2- 2真人實驗市場集合競價機制環境設定	18

表3- 1基本價值與零智慧交易者交易策略流程	22
表3- 2 實驗三種類型稟賦投資組合	24
 
表4- 1真人實驗市場績效指標	30
表4- 2全部零智慧交易者實驗市場績效指標	31
表4- 3實驗市場指標值	33
表4- 4 T檢定平均偏差P值表	35
表4- 5 T檢定交易量P值表	36
表4- 6 T檢定繁榮持續期數P值表	37
表4- 7 T檢定標準化偏離P值表	38
表4- 8 T檢定振幅P值表	39
表4- 9 T檢定總偏差P值表	40
表4- 10 魏克森符號等級檢定平均偏差P值表	41
表4- 11 魏克森符號等級檢定交易量P值表	42
表4- 12 魏克森符號等級檢定繁榮持續期間P值表	43
表4- 13 魏克森符號等級檢定標準化偏離P值表	44
表4- 14 魏克森符號等級檢定振福P值表	45
表4- 15 魏克森符號等級檢定總偏差P值表	46
表4- 16相同實驗設定下，T檢定不同秉賦型態基本價值	49
表4- 17相同實驗設定下，魏克森符號等級檢定不同秉賦型態	50
表4- 18實驗總表	51
表4- 19實驗市場報酬	52
表4- 20 T檢定六位基本價值交易者與三位零智慧交易者報酬	56
表4- 21魏克森符號等級檢定六位基本價值交易者與三位零智慧交易者報酬56
表4- 22 T檢定一位基本價值交易者各別在三位稟賦型態的交易者報酬58
表4- 23 魏克森符號等級檢定一位基本價值交易者各別在三個稟賦型態的交易者報酬	58
表4- 24 T檢定不同實驗基本價值交易者報酬	60
表4- 25 魏克森符號等級檢定不同實驗基本價值交易者報酬	60

圖目錄

圖4- 1真人實驗六個實驗每個市場每一期交易價格	25
圖4- 2零智慧交易者交易六個實驗每個市場每一期交易價格	26
圖4- 3真人實驗六個實驗每個市場價格高峰期發生頻率	27
圖4- 4零智慧交易者交易六個實驗每個市場價格高峰期發生頻率	28

附錄圖1- 1實驗交易介面圖	71
附錄圖1- 2交易者願賣價格低於願買價格圖	72
附錄圖1- 3交易者持有股票數目不足欲賣股票數目圖	73
附錄圖1- 4交易者持有的現金不足欲購買的股票金額圖	73
附錄圖1- 5當期交易結果圖	75

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