基于反射理论的信息驱动金融市场模型研究

项目名称： 基于反射理论的信息驱动金融市场模型研究

项目编号： No.61503140

项目类型： 青年科学基金项目

立项/批准年度： 2016

项目学科： 自动化技术、计算机技术

项目作者： 张玉霞

作者单位： 华南理工大学

项目金额： 19万元

中文摘要： 金融市场隐含着金融危机和投资商机，事关国家经济安全和社会稳定。金融市场中的信息是造成股价剧烈震荡的主要原因，然而在定量理论及模型中，信息的重要性却被弱化了。本项目旨在探求一种可以刻画信息对市场变化及趋势影响的新型金融模型。由于反射理论可以从宏观上描绘信息和市场趋势演化过程，因此本项目围绕“信息和市场，反射演化”，利用大量互联网信息数据，构建基于反射理论的信息驱动金融市场模型。首先，设计一种互联网信息数据的分类及量化算法；然后，将量化信息时间序列引入已有的多代理人金融模型，探索信息→代理人→策略→市场趋势→信息的反射演化过程。在此基础上，构建基于反射理论的信息驱动金融模型。最后，利用新模型探索市场变化及金融风险形成的微观机制，进行预测应用研究。本项目将为信息金融研究建立新模型，新模型不仅在理论上刻画信息驱动市场的本质，而且在应用上为利用信息进行预测提供了新方法和思路，提高金融预测效果和效率。

中文关键词： 多代理人金融模型；反射理论；数据挖掘；信息金融；经济预测

英文摘要： Financial market is full of investment opportunities and the financial crisis, it matters national economic security and social stability. Information is the main cause of turbulent stock, but in quantitative theory and models, the importance of information is weakened. The project aims to explore new financial model to describe the changes and trends in the information market. The theory of reflexivity depicts the macro evolution of information and market trends. Based on the theory of reflexivity, the project will build an information-driven financial markets from the key relation information and market, the theory of reflexivity , by analyzing a large number of Internet information and data. First, we will study the classification of Internet information data and quantification algorithm; then, we introduce the quantitative information time series to agents-based financial model, and explore the process: information → agents → strategies →market trend → reflected information, to build financial market model based on the theory of reflexivity. Finally, we simulate the real market trends, and study the microscopic mechanism of information and market trends with the bidirectional relation. The project will build a new model for information economics. The new model describe the nature of the relation between information and market, and it also provide a new method for forecast based on information which will improve the predict efficiency in financial market.

英文关键词： multi-agents based financial model;Theory of reflexivity;Data mining;information finance;economic forecsat