有效证券市场上证券价格长期波动控制系统的反馈控制  

The Feedback Control of the Control System of Prices Long-term Volatility in Efficient Stock Markets

作　　者：邹辉文[1] 

机构地区：[1]福州大学管理学院,福州市350108

出　　处：《运筹学学报》2010年第4期53-67,共15页Operations Research Transactions

基　　金：教育部人文社会科学规划基金项目(07JA790096)

摘　　要：探讨有效证券市场上证券价格长期波动控制系统的反馈控制问题,建立了有效市场条件下证券价格长期波动的控制系统模型.根据系统完全能达的条件,讨论了以股市政策为单控制输入配置极点的问题和以上市公司政策为单控制输入配置极点的问题;根据系统非完全能达的条件,探讨了上市公司不发展时的镇定问题和股市宏观上不调控时的镇定问题.设计了一个降维状态观测器,用以估计证券的内在价值.选择使上市公司均衡增长时对应的证券平均内在价值作为目标值,设计线性多变量调节器,使所得到的闭环系统渐近稳定,且系统的输出跟踪该目标值.通过反馈控制以改善控制系统的内部结构特征和性能,达到人们对证券市场进行调控的预期目的.The feedback control of the control system of prices long-term volatility in efficient stock markets is discussed.The control system model of prices long-term volatility in efficient stock markets is built.According to the conditions of system complete accomplishability,both of the following issues are discussed respectively：issue of taking stock market policies as single-control input collocating poles,and that of taking listed corporations policies as single-control input collocating poles.According to the conditions of system incomplete accomplishability,the equanimity problems are respectively discussed both when the stock markets don＇t develop and when the stock market doesn＇t carry out macro-regulation.A dimension-minus state observer is designed to estimate stocks＇ intrinsic value.By choosing the stocks＇ corresponding average intrinsic value when the listed corporations are increasing in equilibrium as the target value,we design linear multi-variables adjustor to make the closed-loop system become stable gradually and the output of the system track that target value.Through the feedback control we can improve the interior structure and performance of the control system,and arrive at the purpose of regulating the stock markets.

关 键 词：运筹学 有效证券市场 证券价格波动 反馈控制 

分 类 号：TP273[自动化与计算机技术—检测技术与自动化装置]