复杂性视角下金融市场极端风险溢出的群体动力学机制与路径研究

项目名称： 复杂性视角下金融市场极端风险溢出的群体动力学机制与路径研究

项目编号： No.71273067

项目类型： 面上项目

立项/批准年度： 2013

项目学科： 管理科学

项目作者： 刘湘云

作者单位： 广东财经大学

项目金额： 56万元

中文摘要： 综观金融市场发展史，极端事件屡见不鲜，金融恐慌和金融危机频频爆发，给实体经济发展和社会稳定造成严重危害。金融市场系统具有开放的复杂巨系统的群体动力学特征，本项目首先拟运用空间计量和网络分析研究全球化下金融市场复杂系统的组群特征；然后在此基础上，运用演化博弈论、非线性理论、行为金融理论等探究金融市场极端风险溢出路径及其群体动力学机制，主要包括投资主体集群的跨市场羊群行为机制、基于分形市场组群的局部交互作用机制和政府组群的适应性学习机制；最后，运用系统控制论思想合理设计金融市场极端风险溢出的监控机制，包括溢出预警机制、溢出类型甄别机制、溢出效应测度系统和评级系统、溢出信息披露机制、应急处置机制、国内国际协调机制和效果评价与反馈机制等，从而为我国金融机构和金融监管当局预控金融恐慌和金融危机提供理论支持与实践对策。

中文关键词： 金融市场；极端风险溢出；群体动力学；金融复杂性；

英文摘要： Throughout the history of financial markets, extrem events such as financial panics and financial crisis happened frequently, which had serious consequences to the real economy. Financial markets system has the group dynamic characteristics of the Open Complex Giant System(OCGS), firstly in this project, we plan to study the group dynamic features of finacial markets under globalization with spatial ecnometrics and network analysis; Then we use evolutionary game theory, nonlinear theory, behavioral finance theory to explore the paths and the group dynamic mechanisms of extreme risk spillover among financial markets, including the investor group's cross-market herding behavior mechanisms, local interaction mechanisms based on fractal market group and the adaptive learning of the government group; Finally, using the idea of System Sybernetics, we will design the extrem risk spillover monitoring mechanisms of financial market, including the spillover early warning mechanism，the spillover type identification mechanism, the spillover measurement and rating system, the spillover information disclosure mechanism, the emergency response mechanism, the domestic and international coordination mechanism and effect assessment and feedback mechanism etc. Thus we could provid financial institutions and regulatory authorities

英文关键词： Financial Market；Extreme Risk Spillover；Group Dynamics；Financial Complexity；