证券市场投资者情绪传播模型

发布时间：2018-01-24 22:14

本文关键词： 证券市场复杂网络情绪传播 SIRS模型 ISR模型　出处：《上海大学》2013年硕士论文　论文类型：学位论文

【摘要】：目前对证券市场投资者情绪的研究主要集中在投资者情绪指标和投资者情绪本身对投资者决策以及股票收益的影响，关于投资者情绪传播机制的研究相对不多，且已有研究集中于羊群行为的理论解释和实证研究，多使用元胞自动机理论。本文利用复杂网络理论，将SIRS传染病模型和谣言传播ISR模型引入证券市场投资者情绪传播研究机制，将证券市场投资者情绪分为积极和消极两类，投资者状态分为情绪易感者、情绪传播者和情绪免疫者三类，建立了证券市场投资者状态变化ISR模型和投资者情绪变化模型，并将两种模型有机的结合起来，形成了完整的证券市场投资者情绪传播模型。在对投资者情绪传播模型进行数值模拟的过程中，本文将证券市场投资者状态变化和投资者情绪变化结合起来，使得投资者状态变化独立于情绪变化，而投资者情绪变化依赖于投资者的状态，，并且投资者情绪传播依赖于市场整体投资气氛和邻居情绪传播者数量，反映了现实实际。数值模拟结果反映了证券市场存在明显的“追涨杀跌”投资现象，投资者情绪传播与市场理性程度存在明显的相关关系，而证券市场规模、邻居投资者数量以及投资者受邻居投资者影响发生情绪变化的概率对投资者情绪传播速度均没有显著影响。
[Abstract]:At present, the research on investor sentiment in the securities market is mainly focused on the impact of investor sentiment index and investor sentiment itself on investors' decision-making and stock returns, but there are relatively few studies on the mechanism of investor sentiment transmission. And the previous studies have focused on the theoretical explanation and empirical research of herding behavior, mostly using cellular automata theory. In this paper, the complex network theory is used. The SIRS infectious disease model and the rumor spread ISR model are introduced into the research mechanism of investor sentiment communication in the securities market. The investor sentiment in the securities market is divided into two categories: positive and negative. Investor state is divided into three categories: emotional susceptible person, emotional communicator and emotional immune person. The ISR model of investor state change and investor mood change model are established in the stock market. The two models are combined organically to form a complete model of investor sentiment propagation in the securities market. In the process of numerical simulation of investor sentiment propagation model. This paper combines the change of investor's state with the change of investor's emotion, which makes the change of investor's state independent of the change of emotion, and the change of investor's emotion depends on the investor's state. The spread of investor sentiment depends on the overall investment atmosphere of the market and the number of neighbor emotional communicators, which reflects the reality. The numerical simulation results show that there is an obvious phenomenon of "chasing after rising and killing falling" investment in the stock market. There is a significant correlation between investor sentiment dissemination and market rationality, and the scale of the securities market. Neither the number of neighbor investors nor the probability of emotional changes influenced by neighbor investors have any significant effect on the speed of investor sentiment propagation.
【学位授予单位】：上海大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;O157.5

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