网络视角的投资行为演化、价格联动与市场稳定的关系研究

项目名称： 网络视角的投资行为演化、价格联动与市场稳定的关系研究

项目编号： No.61273229

项目类型： 面上项目

立项/批准年度： 2013

项目学科： 自动化技术、计算机技术

项目作者： 杨春霞

作者单位： 南京信息工程大学

项目金额： 80万元

中文摘要： 投资者相互作用的过程中其行为发生变化并影响市场的稳定性，个股波动与资产价格联动也影响市场的稳定性，这些都是金融界关注的的热点问题。本研究不仅从股票网络拓扑演化过程中揭示资产价格联动与市场稳定性之间的关系，更是采用演化网络描述投资者之间的相互作用：（1）部分个人投资者之间，其亲密关系影响他们之间的信息交流，进而影响各自关于基金公司的选择；（2）个人投资者和基金公司之间，公司业绩影响个人投资者去选择公司，反过来个人投资者的选择影响公司经理管理的基金规模，进而影响公司业绩；（3）基金经理之间，各经理所属公司的业绩影响其声誉，其声誉又相互影响各自的决策，进一步再影响公司的业绩。建立能体现投资者相互作用差异性的订单驱动的市场模型，当产生吻合真实收益特征的价格序列时，求取相应的参数空间，并反复实验，研究投资者行为随其相互作用变化的演化过程，揭示投资者行为对证券市场稳定性的影响，以促进金融学的发展。

中文关键词： 投资者行为演化；资产价格联动；市场稳定性；复杂网络；实验金融学

英文摘要： In the investor interaction's process its behavior changes and affects the market stability, the co-movements of asset price are also swaying it, such phenomena are widespreadly concerned in the financial community. Here we will disclose the relationship between the market stability and the co-movements of stock price by analyzing the evolution of stocks network topolopy for the Shanghai stock market. Specially, a order-driven model will be constructed,which incorporates three networks to discribe different interactions between investors: (1) for that between part individual investors, their intimate relation affects the communication between them, then influences their respective choice of fund company; (2) for that between individual investor and the fund company, company performance affects individual investor to choose the company, in turn individual investor's choice influence company's fund scale, then influence company performance; (3) for that between fund manager, the company performance affects manager's prestige, him prestige influence other managers' decision-making, further again affects company's achievement. After the model produces the price time series which has the same stylized facts as the real, we will repeate the experiment and study the evolution process of investment behaviors. At last we

英文关键词： the evolution of investors' behavior；the linkage of asset price；the the market stability；complex network；experimental finance