对有效市场的挑战--资本市场分形与混沌的研究综述  

Challenges Facing the Efficient Market——Survey of the Fractal and Chaos of Capital Market

作　　者：庄新田[1] 李冰[2] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004 [2]中国人民银行沈阳分行会计财务处,辽宁沈阳110001

出　　处：《东北大学学报（社会科学版）》2008年第2期133-138,共6页Journal of Northeastern University(Social Science)

基　　金：国家自然科学基金资助项目(70371062)

摘　　要：有效市场理论以线性化的假设来刻画资本市场,把市场看成是均衡系统或围绕均衡点变动的周期性系统。但实证检验对两种看法都不支持,市场是一个复杂系统,具有不可叠加性的特征。回顾资本市场复杂性理论的发展历程,从资本市场分形及混沌理论两方面归纳了资本市场复杂性的基本研究方法,综述了国内外资本市场复杂性的研究现状,在此基础上,总结出复杂网络、金融数据高维计算复杂性和人工股市模型等研究动向。Efficient Market Theory （EMT） describes the capital market using linearity hypothesis, which regards the market as an equilibrium system or a periodical system turning around the equilibrium point. But the empirical test results don＇t support both of them. Market is a complex and insuperposable system. Looking back on the complexity theories of capital market and the history of their developments, the principal approach to the study on the complexity of capital market is generalized at two aspects, i.e. , the fractal of capital market and the theory of chaos. Surveying the present situation of the study on the complexity of capital market at home and abroad, some focal points are found as the trend to the study, such as the complex network, complexity of higher-dimensional computation of financial data.

关 键 词：有效市场 分形市场 混沌理论 标度不变性 

分 类 号：F830.91[经济管理—金融学]