基于计算实验金融的股票市场非理性泡沫研究

发布时间：2018-11-10 15:31

【摘要】：伴随2007年前后的美国次贷危机所引起的全球范围内的经济危机,“泡沫’(?)(Bubbles)一词再次引起人们的高度关注。从1929年的美国股市崩溃,到20世纪80年代末的日本股市和地产泡沫的崩溃,再到美国2000年前后的互联网络泡沫的崩溃等等,每一次的股市泡沫崩溃无一不将当时的宏观经济带入停滞或是萧条状态,扰乱金融市场和经济体系的正常运行。泡沫理论自得到发展以来,可分为理性泡沫和非理性泡沫两个方向,其中理性泡沫理论研究以理性预期和有效市场假说的假设作为前提,在这一阶段占据主导地位的是理性泡沫模型。伴随着行为金融学的不断发展,越来越多的经济学家放弃了关于“理性经济人的假设,理性泡沫理论也因此受到了前所未有的挑战。行为金融学的兴起是金融经济学领域的革命性发展,从市场主体的心理、行为角度出发,为解释市场上出现的诸如泡沫、过度波动等“市场异象”开辟了新的思路。非理性泡沫理论在此基础上得到了长足发展,非理性泡沫理论认为,资产价格泡沫是市场主体行为的结果,而市场主体行为本身是有限理性的。分析作为市场主体行为之一的——投资者的风险偏好程度对非理性泡沫产生的影响,通过计算实验金融的方法,借助SFI人工股票市场的仿真模拟平台,对agent风险偏好系数进行设定并运行实验。实验结果显示：随着投资者的风险偏好程度的不断加强,股票市场上的非理性泡沫的程度大体上也呈不断膨胀的趋势。当投资者的风险偏好程度较小时,市场上的非理性泡沫的上升幅度也比较缓慢;在投资者风险偏好较低的市场中,非理性泡沫的波动大体上维持在一个较低水平。说明在投资者为高风险偏好的市场中,不但市场泡沫会比风险偏好较低的市场大,而且泡沫的波动程度也要比风险偏好低的市场强。
[Abstract]:With the global economic crisis caused by the subprime mortgage crisis around 2007, the word "bubble" (?) (Bubbles) has once again aroused great concern. From the crash of the US stock market in 1929 to the collapse of the Japanese stock market and real estate bubble in the late 1980s, to the collapse of the Internet bubble in the United States around 2000, and so on. Every stock market bubble crash brought the then macroeconomic into stagnation or depression, disrupting the normal functioning of financial markets and the economy. Since the development of foam theory, it can be divided into two directions: rational bubble and irrational bubble. The theoretical research of rational bubble is based on the hypothesis of rational expectation and efficient market hypothesis. It is the rational bubble model that dominates at this stage. With the development of behavioral finance, more and more economists abandon the hypothesis of "rational economic man", and the theory of rational bubble is challenged. The rise of behavioral finance is a revolutionary development in the field of financial economics. From the psychological and behavioral point of view of the market subject, it opens up a new way of thinking for explaining the "market anomalies" such as bubbles and excessive fluctuations in the market. On this basis, the theory of irrational bubble has made great progress. The theory of irrational bubble holds that asset price bubble is the result of the behavior of the market subject, and the behavior of the market subject itself is limited rationality. This paper analyzes the influence of investor's risk preference degree on irrational bubble, which is one of the behaviors of market main body. Through the method of calculating experimental finance, the simulation platform of SFI artificial stock market is used. The risk preference coefficient of agent is set up and the experiment is carried out. The experimental results show that with the increasing risk preference of investors, the degree of irrational bubbles in the stock market is generally expanding. When investors' risk preference is small, the rise of irrational bubbles in the market is also slower; in the market with low investor risk preference, the volatility of irrational bubbles is generally maintained at a lower level. It shows that in the market with high risk preference, not only the bubble will be bigger than the market with lower risk preference, but also the fluctuation degree of the bubble will be stronger than that of the market with lower risk preference.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F831.51;F224

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