项目名称: 信息扩散机制与危机传染研究——基于扩散限速市场假说
项目编号: No.71303016
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: 吴蕾
作者单位: 北京航空航天大学
项目金额: 22万元
中文摘要: 本课题将对有效市场假说的反思和对危机传染的研究结合到一起,利用金融物理学的研究方法,对市场通过自组织而涌现出的宏观规律及其复杂性提出推测和说明,试图得到一个具有科学性的可以被接受的解释,帮助人们运用科学思想对市场进行新的思考。 具体的,首先将热力学中的基本规律和扩散方程运用到金融市场信息扩散机制的研究中,基于行为金融学中有限理性人的假设,提出信息限速扩散概念,建立相位滞后扩散方程模型,对市场异象进行解释,解决"稳态"的有效市场假说无法解释的"非稳态"市场特征。进一步,针对不同类型金融危机,设计不同扩散方程初始条件与边界条件,建立信息扩散-危机传染模型,对危机传染进行建模与预测,度量危机传染中市场可能出现的趋势性偏离,以期在危机传染的早期预警方面取得进展。最终,形成一套较系统的扩散限速市场假说,阐述其对有效市场假说和分形市场假说的包容性,以及所具有的刻画危机状态时市场奇异特征的能力。
中文关键词: 信息扩散;危机传染;扩散方程;有效市场假说;扩散限速市场假说
英文摘要: Combining the rethinking of Efficient Market Hypothesis with the study of contagion, the project uses standard methods of financial physics to conjecture the natural laws behind financial market phenomena. The aim is to put forward a scientific and acceptable framework which would therefore be of value in the interpretation of the price formation mechanism. Specifically, the price formation mechanism is fitted to match the properties of a thermodynamic diffusion equation. Based on the bounded rational assumption in behavioral finance, the concept of information limited diffusion is introduced,and a Phase-lagging Diffusion Equation model is built to simulate dynamically the market's course from stable state implied by Efficient Market Hypothesis to unstable state. Furthermore, the project tries to establish a set of Diffusion Equation-Contagion models, which are obtained from different boundary conditions and initial conditions corresponding to different types of financial crisis. The set of models can be used to test empirically the contagion effect, estimate the divergent trend in prices existing in turbulent periods and improve the extant early-warning systems. Finally, a Diffusion-limited Market Hypothesis will be proposed and compared to Efficient Market Hypothesis and Fractal Market Hypothesis, to illustra
英文关键词: Information Diffusion;Contagion;Diffusion Equation;Efficient Market Hypothesis;Diffusion-limited Market Hypothesis