基于智能多Agent的金融破产传染分析和预警

项目名称： 基于智能多Agent的金融破产传染分析和预警

项目编号： No.71201077

项目类型： 青年科学基金项目

立项/批准年度： 2013

项目学科： 管理科学与工程

项目作者： 张瑾玉

作者单位： 南京大学

项目金额： 20万元

中文摘要： 2008年全球性金融危机形成的关键原因是美国次债危机在全球金融市场的蔓延和传染。特别是在"破产雪崩"时，单一的破产事件将会极大增加市场中相关企业或机构的破产风险。如何度量金融传染效应，尤其是破产情况下的传染，并及时做出预警是近几年来金融领域非常关注的研究问题。然而，经典研究方法所需的前提假设和简化条件在高度复杂的市场中，大多被违背，研究效果并不理想。软件Agent由于具备优良的特性，如自治性、异构性、动态性等，能够构建出的智能多Aagent系统被广泛认为更符合真实市场特性。因此，本项目通过构建智能多Agent系统研究如何合理解释公司和金融机构间的传染现象，对特定环境下可能导致的扩散途径和传染现象进行有效预警，并最终对降低特定关系中的破产传染风险提供一些有效的建议。本项目的开展，在风险管理、投资决策、金融智能等领域都会有较好的应用价值。

中文关键词： 金融危机；破产传染；软件Agent；智能多Agent系统；传染定量模型

英文摘要： It is widely recognized that the global financial and economic system exhibits a tendency to become more and more remarkably intertwined with the continual increase in economic globalization, and this provided a diffusion path for the United States (U.S.) subprime mortgage crisis in 2008. In a network economy, when a firm goes bankruptcy or becomes financially distressed, probabilities of bankruptcy in connected firms increase. In other words, a single bankruptcy may have systemic repercussions through an avalanche of bankruptcies. It has been widely conceded among academic researchers and business practitioners that it is an important challenge to better understand these dynamics and complexities of financial contagion as the analytical underpinning of an early warning system with respect to financial instability. But there is a larger problem. The mathematical machinery is cumbersome and requires drastic assumptions and simplifications to get tractable results. At the same time, software agents enjoy the following characteristics: autonomy, social ability, reactivity and pro-activeness. Intelligent multi-agent-based systems potentially present a way to model the financial economy as a complex model, while taking human adaptation and learning into account. Such systems allow for the creation of a kind of virtua

英文关键词： Financial Crisis；Bankruptcy Contagion；Software Agents；Intelligent Multi-Agent System；Contagion Quantitative Model