股市模仿性羊群行为涌现、演化和治理的系统建模：基于社会网络视角

项目名称： 股市模仿性羊群行为涌现、演化和治理的系统建模：基于社会网络视角

项目编号： No.71301078

项目类型： 青年科学基金项目

立项/批准年度： 2014

项目学科： 管理科学

项目作者： 卞曰瑭

作者单位： 南京师范大学

项目金额： 20.5万元

中文摘要： 随着资本市场的全球化，国际范围内股市的不确定性、不可预测性等复杂特征越发明显，股市羊群效应显著，导致股市波动加强，增加了金融风险爆发和蔓延的可能。我国股市"新兴加转轨"特征仍十分明确，股市羊群现象仍较普遍，股市功能无法得到有效发挥。因此，研究股市羊群行为演化机理对深入认识股市的运行规律具有重要作用。基于股市投资者兼有"经济人"和"社会人"属性的有限理性假设，本项目以复杂社会网络为研究视角，运用复杂网络理论、行为金融理论、博弈论、多主体建模理论等理论方法体系，构建模型探讨股市投资者间的关联网络结构，分析投资者间互动耦合的行为基础和学习模仿机制，探索股市模仿性羊群行为的演变路径和传播渠道，解析网络视角下的股市模仿性羊群行为演化机理，构建不同模仿策略下的股市模仿性羊群行为演化模型，并进行模拟仿真分析。本项目的研究旨在构建针对我国股市特征的治理对策和建议，为进一步完善我国金融监管体系提供理论支撑。

中文关键词： 金融市场；羊群行为；演化模型；金融风险；复杂网络

英文摘要： With the globalization of capital markets, the complex features, such as, the uncertainty, unpredictability and so on, of stock market in international wide are becoming more obvious, and the herding effect is becoming more significant, that result in the strengthening of stock market volatility and the increasing the possibility of outbreak and spread of financial risks. The feature of emerging and transition and the phenomenon of herding effect of China's stock market are still very clear and common, and the function of stock market in economy cannot be effectively realized. Therefore, the study of evolution mechanism of herding behavior plays an important role in deepening understands the operation law of stock market. Based on the assumptions of investors' bounded rationality who possess the both property of economical being and social being, and on the perspective of complex social network, using the theory and methodology of complex network theory, behavior finance theory, game theory, multi-agent modeling and so on, this project builds the model to investigate the network structure of the correlation among the investors, analyze the imitate learning mechanism and the coupling basis among investors' behavior, explore the paths of the evolution of herding behavior and the spreading channels, resolve the evo

英文关键词： financial market；herding behavior；evolution model；financial risk；complex networks