金融市场的复杂性与金融风险管理——一个基于非线性动力学视角的分析原理  

Complexity of Financial Markets and its Risk Management: Based on the Nonlinear Dynamical Analysis Principle

作　　者：李红权[1] 

机构地区：[1]湖南师范大学商学院

出　　处：《财经科学》2006年第10期9-16,共8页Finance & Economics

基　　金：国家自然科学基金(70471030):金融市场的非线性动力学特征与风险管理研究;国家社会科学基金(030JBY56):基于行为金融的整体风险管理理论与方法研究

摘　　要：迄今为止,对金融市场的研究与分析基本上是在经典资本市场理论的线性分析范式下展开的。然而,经典资本市场理论的线性化分析方法有其内在的局限性,它不能解释现实金融市场资产价格的变化,更不能用来分析美国股市“1987年股灾”等市场突变行为。在这样的背景下,金融市场的研究出现了从线性转向非线性分析,从均衡走向演化的新趋势。本文在考察金融系统的非线性本质与作为虚拟经济系统的内在特性的基础上,提出了金融市场的非线性动力学分析原理,并形成了风险管理的整体观、内生观与过程观。这些原理将为研究金融市场与风险管理理论提供新的方向。Until recently, most of the studies in financial markets have utilized linear analysis methodology under conventional Capital Market Theory （CMT）. However, the linear methodology of CMT has limitations inherently as they are invalid to capture complicated ＂patterns＂ in stock prices, not to mention the crash of 1987 in U. S. stock market, which is a catastrophic phenomenon. So, a new research trend, from the point of nonlinearity and evolution instead of in a linear and equilibrium view, emerges. Based on the inherent nature of capital market as part of virtual economy, this paper presents the Nonlinear Dynamical Analysis Principle （NDAP） to study capital market systemically, and then puts forwards integration rule, endogenous rule and process rule to guard risk management process. It＇ s convincing that the innovative framework will give deep insight into research on financial market theory and risk management.

关 键 词：金融市场 风险管理 非线性动力学 

分 类 号：F830[经济管理—金融学]