多主体交互作用下基于随机微分博弈的IPO决策机理研究

项目名称： 多主体交互作用下基于随机微分博弈的IPO决策机理研究

项目编号： No.71471142

项目类型： 面上项目

立项/批准年度： 2015

项目学科： 管理科学

项目作者： 胡志强

作者单位： 武汉大学

项目金额： 62万元

中文摘要： 新股上市时机选择是IPO 研究的前沿问题，国内外现有文献缺乏对企业IPO决策内在机理的深入研究，所构建的最优市场时机模型与现实不完全相符。本项目在对IPO市场中企业竞争策略选择的决策特征及其影响因素进行研究的基础上，基于随机微分博弈理论建立企业IPO时机选择的多主体随机微分博弈模型，研究政府、异质企业多个主体之间策略选择的互动机制，进而研究行业内不同企业上市对行业内其他企业竞争策略选择的影响及其均衡形成机理，并据此求解IPO决策的随机微分博弈模型。另一方面，从政府角度研究行业全局最优均衡的实现条件，并研究该条件产生的诱导机制。运用复杂系统仿真技术和实证研究验证理论研究的有效性，并对该理论模型进行优化调整。本项目的研究不仅对现有理论进行了有益的拓展和深化，也将为拟上市企业IPO时机选择提供事前指导，并能为监管当局调节IPO 发行节奏、完善新股发行制度提供理论参考和政策建议。

中文关键词： 多主体；交互作用；随机微分博弈；IPO决策

英文摘要： Market timing of initial public offerings is the forefront of IPO research. But the domestic and foreign existing literature is lack of in-depth study of internal mechanism in firms' IPO decision, and the construction of the optimal market-timing model does not quite match realities. The topic is on basic of research on the decision-making characteristics of firm's competitive strategy and its influencing factors in IPO market. Based on stochastic differential game theory，we establish the multi-agent stochastic differential game model of IPO timing and study the interaction mechanism of the strategic choice among multiple subjects, for example, government and heterogeneous firms. Furthermore, we study the impact of different firms' IPOs within the industry on the other firms' competition strategic choice and the mechanism of equilibrium, and accordingly we solve the stochastic differential game model of IPO decision. On the other hand, from the point of government, we study the condition to realize the global optimal equilibrium among the whole industry and its induction mechanism. We verified the validity of the theoretical research using the complex system simulation technology and the empirical research, and optimized the theoretical model. The research of this project can not only expand and deepen the existing theories beneficially, but also provide guidance of IPO market timing to pre-IPO firms. In addition, the research can provide the theoretical reference and policy recommendation to regulatory authorities on IPOs' regulation and improvement of IPO system as well.

英文关键词： Multi-agent;Interaction;Stochastic Differential Game;IPO Decision