基于信息传播和羊群行为的股票市场微观模拟研究  

Study on Stock Market Micro Simulation Based on Information Propagation and Herd Behaviors

作　　者：黄玮强[1] 庄新田[1] 姚爽[1] 

机构地区：[1]东北大学工商管理学院

出　　处：《管理学报》2010年第2期273-277,共5页Chinese Journal of Management

基　　金：国家自然科学基金资助项目(70871022);高等学校博士点基金资助项目(20060145001);教育部人文社会科学研究资助项目(09YJC630029)

摘　　要：基于投资者之间信息传播及决策羊群行为,构建股票市场微观模型。不同于已有研究,综合考虑了投资者网络特征,即网络密度对信息传播速度的影响。通过数值仿真运算,研究在影响信息传播速度上,不同权重的网络密度和股价波动状况影响因素,对股票宏观统计特征的影响。研究结果表明,变化的网络密度和股价波动状况权重系数,不影响股票收益率分布的非正态、尖峰厚尾和收益率波动聚集等特征;投资者集簇规模及股票绝对收益率呈负幂律分布;权重系数的变化会影响股票收益率的分形特征。投资者之间信息传播速度受到的一定程度的股价波动状况的影响,是股票收益率具有状态持续性的充分必要条件。This paper constructs a micro stock market model based on the information propagation and herd behaviors among investors. Unlike present studies, it considers the influence of investor network density on information propagation. By numerical simulation, we conclude some results about how the different relative importance between network density and price fluctuation for the information propagation speed impact the macro stock statistical characteristics. We find out that the relative importance has nothing to do with some basic statistical characteristics, such as volatility clustering, sharp peaks and fat-tail distributions of stock yield. Both the investor clusters and stock absolute yield obey negative power law. The change of relative importance influences fractal feature of stock yields. The certain extent impact of price fluctuation on information propagation speed is a sufficient and nec- essary condition for state persistence of stock yield.

关 键 词：股票市场微观模拟 信息传播 羊群行为 投资者网络密度 

分 类 号：C93[经济管理—管理学] F830.91