基于行为金融实验的非线性证券价格动态模型

发布时间：2018-05-30 08:36

本文选题：资产结构 + 股价波动　；参考：《管理学报》2012年07期

【摘要】：为了研究交易者资产结构与股价波动之间的关系,设计并实施了10场内容相同的行为金融实验。根据实验现象以及交易者持仓状态反映其对市场的投资态度,构建了描述市场平均投资态度和股票价格的数学模型。首先利用离散动力系统的相关理论研究了模型的稳定性,然后根据金融市场稳定与否对传染效应进行界定。数值模拟发现,在理性传染效应区间内,存在最优传染效应。在此基础上,进一步探讨了资产结构与股价波动之间的关系。具体而言,在理性传染效应的作用下,当市场中满仓交易者数量与空仓交易者数量相当时,股价呈现小幅水平趋势波动;当满仓交易者数量远高于(低于)空仓交易者数量,股价呈现大幅下跌(上涨)趋势波动。
[Abstract]:In order to study the relationship between traders' asset structure and stock price volatility, 10 behavioral financial experiments with the same content were designed and implemented. According to the experimental phenomenon and the position state of traders reflecting their investment attitude to the market, a mathematical model describing the average investment attitude and stock price of the market is constructed. Firstly, the stability of the model is studied by using the theory of discrete dynamic system, and then the contagion effect is defined according to the stability of financial market. Numerical simulation shows that there is an optimal contagion effect in the range of rational contagion effect. On this basis, the relationship between asset structure and stock price fluctuation is further discussed. Specifically, under the effect of rational contagion, when the number of full traders in the market is equal to the number of short traders, the stock price tends to fluctuate slightly; when the number of full traders is much higher than (lower) the number of short traders, The share price showed a sharp decline (rise) trend and fluctuation.
【作者单位】：北京科技大学东凌经济管理学院;
【基金】：国家社会科学基金资助重大项目(10ZD&029) 国家自然科学基金资助项目(71173012) 北京科技大学博士研究生科研基金资助项目(06106061)
【分类号】：F830.91;F224

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