基于二分网络演化的市场波动与羊群行为
发布时间：2018-09-18 16:53
【摘要】：在交易过程中,作为智能A gen t的交易者不但学习他人的交易策略,而且会"创新"性地提出自己的交易策略,从而在引发股票市场上不同程度的波动与羊群行为。本文首先将交易者与股票的"多对多"关系等价转换为"一对多"关系,构建了由股票和交易者组成的二分网络市场模型,并给出了交易与定价规则;然后,利用计算实验的方法对模型进行仿真实验,得到了与真实股价相似的时间序列以及不同"创新"概率下的持股分布;通过理论推导,我们发现了三种不同的持股分布:具有指数截断的幂律分布、二项分布和脉冲分布。最后,给出了研究结论与启示。将计算实验与复杂网络应用于行为金融研究具有较强的理论价值,同时对于投资者和监管方来说都有一定的借鉴和参考意义。
[Abstract]:In the course of trading, traders as intelligent A gen t not only learn the trading strategies of others, but also put forward their own trading strategies "innovatively", thus causing volatility and herd behavior in the stock market to varying degrees. In this paper, the "many-to-many" relationship between a trader and a stock is transformed into a "one-to-many" relationship, and a dichotomic network market model composed of stocks and traders is constructed, and the trading and pricing rules are given. Using the method of computational experiment to simulate the model, the time series similar to the real stock price and the shareholding distribution under different "innovation" probability are obtained. We find three different shareholding distributions: power law distribution with exponential truncation, binomial distribution and impulse distribution. Finally, the conclusion and inspiration are given. It is of great theoretical value to apply computational experiments and complex networks to the study of behavioral finance, and it is useful for both investors and regulators.
【作者单位】： 南京航空航天大学经济与管理学院;山东政法学院商学院;山东英才学院经济管理学院;江苏大学工商管理学院;
【基金】：国家社会科学基金重大资助项目(10zd&014);国家社会科学基金重点资助项目(08AJY024) 国家自然科学基金重大研究计划培育项目(90924022);国家自然科学基金资助项目(70971064) 教育部人文社科青年基金资助项目(10YJC630084)
【分类号】：F224;F830.91
[Abstract]:In the course of trading, traders as intelligent A gen t not only learn the trading strategies of others, but also put forward their own trading strategies "innovatively", thus causing volatility and herd behavior in the stock market to varying degrees. In this paper, the "many-to-many" relationship between a trader and a stock is transformed into a "one-to-many" relationship, and a dichotomic network market model composed of stocks and traders is constructed, and the trading and pricing rules are given. Using the method of computational experiment to simulate the model, the time series similar to the real stock price and the shareholding distribution under different "innovation" probability are obtained. We find three different shareholding distributions: power law distribution with exponential truncation, binomial distribution and impulse distribution. Finally, the conclusion and inspiration are given. It is of great theoretical value to apply computational experiments and complex networks to the study of behavioral finance, and it is useful for both investors and regulators.
【作者单位】： 南京航空航天大学经济与管理学院;山东政法学院商学院;山东英才学院经济管理学院;江苏大学工商管理学院;
【基金】：国家社会科学基金重大资助项目(10zd&014);国家社会科学基金重点资助项目(08AJY024) 国家自然科学基金重大研究计划培育项目(90924022);国家自然科学基金资助项目(70971064) 教育部人文社科青年基金资助项目(10YJC630084)
【分类号】：F224;F830.91
【参考文献】
相关期刊论文 前4条
1 赵硕刚;;中国证券市场羊群行为实证研究综述[J];合作经济与科技;2009年19期
2 张红伟;毛前友;;羊群行为、股价波动与投资收益——基于中国证券投资基金的实证研究[J];经济理论与经济管理;2007年10期
3 杨春霞,王杰,周涛,刘隽,许e，
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