基于投资者异质性的数字资产价格波动稳定性研究——基于ABM仿真实验

Research on Price Volatility Stability of Digital Assets Based on Investor Heterogeneity—An ABM Simulation Experiment

摘要: 比特币市场高杠杆与投机情绪导致的极端波动性已成为数字金融稳定性的核心挑战。本文基于计算实验金融学范式，利用NetLogo平台构建包含趋势追踪型与价值回归型两类异质投资者的ABM模型，通过超额需求价格形成机制、杠杆清算与止损触发规则，模拟外部冲击下的价格演化过程。基准参数设定初始价格10,000美元，趋势型占比40%~70%，杠杆倍数1.2~4.0。仿真结果显示：当杠杆 ≥ 4且趋势型投资者占比 ≥ 70%时，15%的外部冲击可被放大至80%以上最大回撤，形成“清算螺旋”与“流动性黑洞”；价值型投资者占比越高，市场修复弹性越强。研究揭示杠杆内生性与异质性结构是比特币闪崩的根本动力。建议监管部门实施动态杠杆上限、多级熔断与延迟清算机制。本文为加密货币市场稳定性监管提供了计算实验依据。

Abstract: The extreme volatility in the digital asset market, driven by high leverage and speculative sentiment, has become a core challenge to digital financial stability. This paper constructs an Agent-Based Model (ABM) using the NetLogo platform based on the computational experimental finance paradigm. The model incorporates two types of heterogeneous investors: trend-following agents (who chase price trends with high leverage and exhibit herd behavior) and value-returning agents (who trade rationally based on intrinsic value and act as market stabilizers). Price formation follows an excess-demand mechanism, combined with leverage liquidation and stop-loss triggering rules. Baseline parameters include an initial price of $10,000, trend-follower ratio ranging from 40% to 70%, and leverage multiplier from 1.2 to 4.0. Simulation results demonstrate that when leverage exceeds 4 and trend-followers account for 70% or more, a mere 15% external shock can be amplified to over 80% maximum drawdown, forming a “liquidation spiral” and “liquidity black hole”. Higher proportions of value-returning investors significantly enhance market resilience and recovery elasticity. The study reveals that endogenous leverage structure and investor heterogeneity are the root causes of Bitcoin-style flash crashes. Policy recommendations include implementing dynamic leverage caps, multi-level circuit breakers, and delayed liquidation mechanisms. This research provides computational experimental evidence for regulating the stability of cryptocurrency markets.