投资者有限关注与证券市场监管：基于大数据和计算实验的方法

项目名称： 投资者有限关注与证券市场监管：基于大数据和计算实验的方法

项目编号： No.71503130

项目类型： 青年科学基金项目

立项/批准年度： 2016

项目学科： 管理科学

项目作者： 吴承尧

作者单位： 南京农业大学

项目金额： 18万元

中文摘要： 证券市场监管一直是经济和金融实业界、学术界以及政府关注的重要问题。目前很多监管手段都难以达到预期的效果，其原因一定程度上在于忽略了对市场参与主体——投资者的主观信念和行为的把握。本研究基于行为金融理论，创新性地采取计算实验和大数据相结合的方法，辅以计量实证检验，以投资者的有限关注特征为出发点，建设媒体信息知识库，描述投资者关注信息后的情绪和行为决策特征，为观察信息通过投资者行为反应到价格中去的传导机制提供给实验基础；探索异质投资者交互作用下资产价格的涌现规律，并从投资者行为的微观视角对市场过度波动现象的形成机理进行描述分析；基于投资者的行为特征和市场波动的形成机理，探索市场过度波动的事前预防、事中控制、事后防范的方案。本研究旨在从投资者行为的微观视角探索监管手段的市场化，政策制定的科学化，为实现高效率的调控提出切实可行的政策建议。

中文关键词： 市场波动；证券市场监管；有限关注；计算实验；媒体影响

英文摘要： The security market regulation is always a major concern of governments, scholarly institutes and industries in economics and finance. Part of the reason why a lot of manipulation measures could not work well sometimes is that we do not consider the sentiment and behavior of investor, the major participator of stock market, in some certain state of market. This study based on the behavioral finance theory is carried out with the method of big data and computational experiments, supplemented by the qualitative research method and empirical test. Beginning with investor’s limited attention to information, we will construct knowledge base of medium information and describe the characteristic of investor sentiment and behaviors, so as to observe the transmission mechanism to show how the information has an effect on the decision-making of traders and the formation of price with the computational experiment. We also will explore the rule of emergence of price induced by the interaction of heterogeneous investor and explain the excessive volatility with the microcosmic respective of investor behavior. At last we will try to answer how to avoid it before the excessive volatility happens, to control it when the market fluctuates dramatically, and to remedy afterward. This research aims to explore market-oriented control measure and scientific regulatory policies, in order to give suggestions to government on how to regulate stock market efficiently.

英文关键词： market volatility;security market regulation;limited attention;computational experiment;impact of media