信息对股票价格波动影响的行为金融研究

发布时间：2018-05-24 09:38

本文选题：行为金融 + 连续渗流　；参考：《天津大学》2012年硕士论文

【摘要】：行为金融理论是自20世纪80年代兴起的金融学说，目前是西方国家金融研究和实践的前沿领域，它突破了现代金融理论严格而偏离现实的假设条件，吸收了现代心理学的研究成果，使金融学研究建立在现实的假设条件上，从而开辟了金融学研究的新世纪．连续渗流模型源自统计物理学，被引入到信息传导模型的研究之中，实现了信息传导对投资者决策影响的量化分析．首先，论文回顾了行为金融理论的产生历史与发展过程，介绍了目前行为金融和连续渗流模型的研究现状．文章系统地阐释了行为金融学的理论基础和模型以及行为金融理论对于实际市场异常现象的解释，并引入了基于行为金融学的股市信息理论．之后，论文在分析投资者行为方式的基础上，，利用连续渗流模型，构建了股市信息传导模型．在市场非完全有效和投资者有限理性的假设前提下，将行为金融分析得出的投资者反应模式引入信息传导的渗流模型，使这一模型能够更有效的解释市场现象．最后，论文进行了数值模拟，讨论了模型中参数意义与作用．将实际数据与行为金融模型与传统模型的模拟结果进行对比，得出了资本市场中的异常现象更加合理的解释，以分析结果为依据得出市场发展趋势和市场有效化的方法．
[Abstract]:Behavioral finance theory is a financial theory since 1980s. It is the frontier field of financial research and practice in western countries at present. It breaks through the strict and unrealistic hypothetical conditions of modern financial theory. It absorbs the research results of modern psychology and makes the financial research based on realistic hypothetical conditions, thus opening the new century of finance research. The continuous seepage model is derived from statistical physics and is introduced into the research of information transmission model, which realizes the quantitative analysis of the influence of information transmission on investors' decision-making. Firstly, the paper reviews the history and development of behavioral finance theory, and introduces the current research status of behavioral finance and continuous seepage model. This paper systematically explains the theoretical basis and model of behavioral finance and the explanation of the abnormal phenomenon of real market based on behavioral finance theory, and introduces the stock market information theory based on behavioral finance. Then, based on the analysis of investor behavior, a stock market information transmission model is constructed by using continuous seepage model. Based on the assumption that the market is not completely efficient and the investors are limited rational, the investor response model derived from behavioral financial analysis is introduced into the seepage model of information transmission, which can explain the market phenomenon more effectively. Finally, numerical simulation is carried out, and the significance and function of the parameters in the model are discussed. By comparing the actual data with the simulation results of the behavioral financial model and the traditional model, the abnormal phenomena in the capital market are explained more reasonably, and the trend of market development and the method of market efficiency are obtained on the basis of the analysis results.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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