基于计算金融实验的市场崩溃与模仿式羊群行为研究

项目名称： 基于计算金融实验的市场崩溃与模仿式羊群行为研究

项目编号： No.71271118

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： 袁建辉

作者单位： 南京信息工程大学

项目金额： 54万元

中文摘要： 金融市场崩溃与羊群行为存在事实上的关联机制：发生前市场常有超过1年的持续的、逐渐加快的上涨；崩溃发生时多令投资者不及反应，及伴有显著的投机、泡沫、市场恐慌等一致性特征。市场崩溃广泛频发，破坏力大，造成影响广，持续时间长，从理论研究和实践者及监管方看来都显得尤为迫切和极端重要，是值得探究的重大金融问题。因此，通过深入探讨羊群行为来了解市场崩溃的形成机制与警示信号的研究也十分必要。考虑到羊群行为的基本特征和信息私密性，本项目借助计算金融实验方法研究：①探求以羊群行为为基础的市场崩溃预警信号，发现市场崩溃的内部机制；②揭示其中的宏观市场现象与微观个体行为的联系纽带；③构建基于模仿的一般的羊群行为模型；④构建考虑市场情绪影响的模仿式羊群行为模型；⑤尝试对市场崩溃进行对策研究。本研究项目拟推动具有本土特点的行为金融研究的创新与深入，从而指导投资者决策和为有关金融政策推出及市场监管提供实验及实证借鉴。

中文关键词： 计算金融；新兴市场；市场崩溃；羊群行为；金融创新

英文摘要： Stock market crashes, one kind of excess volatility, are momentous financial events that are fascinating to academics and practitioners alike. According to the academic world view that markets are efficient, only the revelation of a dramatic piece of information can cause a crash, yet in reality even the most thorough post-mortem analyses are typically inconclusive as to what this piece of information might have been. For the heterogeneous traders and investors, the fear of a crash is a perpetual source of stress, and the onset of the event itself always ruins the lives of some of them. The finding of excess volatility points to intrinsic dynamic forces of speculative markets not related to fundamental factors. It has been considered as "non-standard" models focusing on fads and sociological or psychological mechanisms. A related empirical finding is the recent evidence on mean-reversion in asset prices. Technically, this means that there is positive autocorrelation over longer intervals in the data. Models, called herd behavior (HB) in all, are developed to understand this regularity. They showed the importance of psychological factors and irrational factors in explaining historical financial crises. But first, the descriptive interprets of HB can not uncover the potential relating mechanism between the market

英文关键词： Computational Experiment；Emerging Market；Market Crash；Herding Behaviour；Finacial Innovation