P2P网络借贷市场的非线性动力学特征研究

发布时间：2017-12-31 19:16

本文关键词：P2P网络借贷市场的非线性动力学特征研究　出处：《东华大学》2017年硕士论文　论文类型：学位论文

【摘要】：P2P网络借贷是一种近年来逐渐兴起的个人对个人直接信贷模式。网贷公司通过线上平台撮合借贷双方达成交易。平台本身扮演信息中介的角色,提供信息披露、信用评级、资金结算、逾期催收等服务,平台利润主要来源于客户缴纳的手续费。P2P网络借贷在中国发展十分迅速,它的出现填补了小额借贷市场的空白。据网贷之家统计,截至2015年10月底,我国P2P网络借贷平台3598家,历史累计成交量终于突破万亿元大关,达到10983.49亿元。2015年10月P2P网络借贷行业综合收益率为12.38%,10月P2P网络借贷行业平均借款期限为6.78个月,预计整个2015年P2P网络借贷行业平均借款期限都将在7个月左右徘徊。然而,同样在过去几年,P2P问题平台数量急剧上升,截至2015年10月总量已累计达1078家,跑路、停业、提现困难成为主要问题来源。可见,现实的P2P网络借贷市场不是简单、有秩序的,它既混乱又复杂。P2P网络借贷风险发生的强度与频率也远比我们理论想象中的要大,风险的复杂性远不是纯粹的随机游走所能解释的。P2P网络借贷市场参与要素多、变量关系多、内部因果关系多样性、强藕合性等特性决定了系统往往是以非线性方式对外界作用产生反应。在这种背景下,深入探析P2P网络借贷市场的非线性动力学特征将为研究P2P网络借贷市场本质特征与实践管理提供一个全新的视角。因此,本文采集四列主要反映全国P2P网络借贷行业全貌的日交易指数时间序列,初步探索P2P网络借贷市场的非线性动力学特征。运用ROR方法对中国P2P网络借贷指数时间序列进行平稳化处理,得到适合进行深入研究的时间序列;运用BDS非线性检验方法,实证分析中国P2P网络借贷市场的非线性依赖性特征,结果表明存在显著的非线性依赖结构,并且其非线性结构可能来源于低维混沌过程;进一步地,运用经典R/S分析方法和修正R/S分析方法,实证分析中国P2P网络借贷时间序列中是否存在长记忆性特征,结果表明中国P2P网络借贷时间序列的产生过程均不是独立随机的,存在大量非线性,但并未显示出长记忆性特征。综合判断,P2P网络借贷市场目前的发展历史和演化程度尚浅,正处在从简单线性系统发展到复杂巨系统的过渡阶段。最后结合理论和实证分析,给出相关建议。
[Abstract]:P2P network lending is a kind of personal to individual direct credit model which is emerging gradually in recent years. The online loan companies make transactions through online platform. The platform itself plays the role of information intermediary. To provide information disclosure, credit rating, fund settlement, overdue collection and other services, the platform profit mainly from customer fees. P2P network lending in China is developing very rapidly. It fills the gap in the small loan market. According to the statistics of Internet loan House, as of the end of October 2015, there are 3 598 P2P network lending platforms in China. In October 2015, the comprehensive yield of P2P network lending industry was 12.38%. In October, the average loan maturity of the P2P network lending industry was 6.78 months, and the average borrowing period of the P2P network lending industry is expected to be around seven months for the whole 2015. In the past few years, the number of P2P problem platforms has risen sharply. By October 2015, the total number of P2P problem platforms had reached 1078, running the road, closing down, making cash difficulties become the main source of problems. The real P2P network lending market is not simple, orderly, it is chaotic and complex. P2P network lending risk occurrence intensity and frequency is much larger than our theoretical imagination. The complexity of risk is far from pure random walk can explain. P2P network lending market participation factors, variables, internal causality diversity. Strong coupling and other characteristics determine that the system often responds to the external action in a nonlinear manner. In this context. Deeply analyzing the nonlinear dynamic characteristics of P2P network lending market will provide a new perspective for the study of the essential characteristics and practical management of P2P network lending market. This paper collects four series of daily transaction index time series which mainly reflect the whole picture of P2P network lending industry in China. The nonlinear dynamic characteristics of P2P network lending market are preliminarily explored. The time series of Chinese P2P network lending index are treated stably by using ROR method, and the time series suitable for further study are obtained. Using the BDS nonlinear test method, this paper empirically analyzes the nonlinear dependence characteristics of Chinese P2P network lending market. The results show that there is a significant nonlinear dependence structure. And its nonlinear structure may be derived from the low dimensional chaotic process. Furthermore, using the classical R / S analysis method and the modified R / S analysis method, the paper empirically analyzes whether there are long memory characteristics in the Chinese P2P network lending time series. The results show that the time series of P2P network lending in China are not independent and random, there are a lot of nonlinear, but do not show the characteristics of long memory. The development history and evolution of P2P network lending market is still shallow, and it is in the transition stage from simple linear system to complex giant system. Finally, combined with theoretical and empirical analysis, the relevant suggestions are given.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.6;F832.4

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