复杂网络视角下的股票市场消息传递行为及其对资产定价影响研究

项目名称： 复杂网络视角下的股票市场消息传递行为及其对资产定价影响研究

项目编号： No.71271144

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： 张永杰

作者单位： 天津大学

项目金额： 55万元

中文摘要： 近年来，不断丰富的信息传播渠道使得股票市场中信息扩散网络结构与个体间消息传递行为都发生了根本性变化，并变得日益复杂。现有文献分别从信息网络结构和消息传递行为这两个侧面分析了前述变化及其对资产定价的影响。但真实股票市场中，个体在传递消息时总是会考虑诸如其发布消息的场合、消息来源渠道等信息网络结构方面的因素，而表现出不同的行为。因此应将上述两个"交织在一起的侧面"纳入同一个分析框架开展研究。 　　本项目拟在高性能计算平台上，构建计算实验金融模型，研究复杂信息扩散网络中个体间消息传递行为的动态特征及其对资产定价的影响，并设计可改善股票市场信息效率、有效防范市场操纵的监管机制；同时将结合互联网数据挖掘与真实市场交易数据进行实证检验，校准计算实验金融模型与验证理论。以期更加准确地刻画与认识股票市场信息扩散过程对资产定价的影响，为互联网时代背景下的股票市场反操纵制度设计及其监管实践提供指引。

中文关键词： 复杂网络；金融信息；资产定价；计算实验；行为金融

英文摘要： In recent years, channels of information transmission have substantially been enriched, which essentially changes the networks of information dissemination and the behaviors of message transmission between individuals in stock markets, and makes both of them more complex. The existing literatures investigated the impacts of these changes on asset pricing from two respective perspectives of information networks and message transmission behaviors. However, when sending and receiving messages in real stock markets, individuals always take into consideration such network factors as occasions on which they send messages, and information channels through which they receive messages, and behave differently in the light of these factors. Therefore further researches should be carried out to take these two combined perspectives as a whole and model the information transmission stage more precisely. This project plans to build agent-based computational models on high performance computing platforms, and to investigate the stage that individuals send and receive messages in complex information dissemination networks and its impacts on asset pricing in stock markets, based on which mechanisms to improve stock market efficiency and to prevent manipulations shall also be designed. Meanwhile, empirical examinations using I

英文关键词： complex network；financial information；asset pricing；agent-based modelling；behavioral finance