群体动力学和金融危机的预测  

Population Dynamics and Precondition for Financial Crisis

作　　者：唐毅南[1,2] 陈平[1,3] 

机构地区：[1]复旦大学新政治经济学中心 [2]复旦大学经济学院 [3]北京大学国家发展研究院

出　　处：《经济研究》2010年第6期53-65,79,共14页Economic Research Journal

摘　　要：群体动力学可以研究趋势瓦解和大众恐慌等金融危机发生时的典型现象。本文引入生灭过程描写非稳态随机过程,主方程的转移概率可以由经验观察直接确定。有效市场假设对应于线性转移概率,实际市场为非线性转移概率。高阶矩展开可以得出方程的解。解的存在条件给出金融危机出现的预警判据。The trend collapse and mass panic are typical features of a financial crisis, which can be studied by population dynamics. The birth-death process is introduced for modeling non-stationary process. The transition probability in master equation can be determined by empirical observations. Efficient market hypothesis （EMH） corresponds to a linear transition probability while real market has a nonlinear transition probability. The model can be solved by high moment expansion. The warning signal of financial crisis can be derived from the precondition of the dynamical solution.

关 键 词：群体行为 生灭过程 危机预警 高阶矩发散 趋势瓦解 

分 类 号：F830[经济管理—金融学]