金融市场崩溃的对数周期型幂律模型及其实证研究

发布时间：2018-04-08 13:27

本文选题：泡沫　切入点：崩溃　出处：《上海交通大学》2014年硕士论文

【摘要】：金融市场会周期性地出现泡沫现象，金融泡沫演变最终导致的市场崩溃会对经济和社会发展造成巨大的冲击。利用数学工具对金融泡沫和市场崩溃进行建模与研究，对于更深刻地理解金融泡沫和市场崩溃、有效防范金融市场崩溃带来的破坏具有重要意义。同时对金融泡沫的研究对于市场投资者也具有积极的指导作用。本文研究的出发点是利用对数周期型幂律模型对崩溃前的金融泡沫进行建模分析，通过对香港恒生指数历次崩溃前的泡沫数据对泡沫的起点和市场的崩溃进行定义和数据切分，，然后进行拟合并对得到的关键参数范围进行讨论来对金融泡沫的崩溃进行研究和预测。同时本文对提出对数周期型幂律模型的学者早期的研究进行分析与验证，对其研究中存在的不甚完美之处进行重新试验与补充。
[Abstract]:The financial market will be periodically bubble phenomenon, the financial bubble evolution eventually led to market crash will cause a huge impact on the economic and social development. The modeling and research of the financial bubble and market collapse by using mathematical tools, for a deeper understanding of the financial bubbles and the market collapse, effectively prevent the damage caused by the collapse of the financial market is important at the same time significance. Research of the financial bubble also has a positive role in guiding the investors in the market.
The starting point of this study is the use of the log periodic power-law model analysis of the collapse of the financial bubble, definition and data segmentation based on Hongkong's Hang Seng Index of the previous market starting point and bubble bubble data before the collapse of the crash, and then were fitted with the key parameters of the range are discussed on the financial bubble the collapse of research and prediction.
At the same time, this paper analyzes and verifies the early research of the logarithmic periodic power law model, and retests and supplements the imperfect parts in its research.

【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.91;F224

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