基于随机图论的股市“羊群效应”模型  

Herd Behavior and Stock Market Return Distribution

作　　者：朱少醒[1] 吴冲锋[1] 张则斌[1] 

机构地区：[1]上海交通大学管理学院,上海200052

出　　处：《系统工程理论方法应用》2000年第1期11-16,共6页Systems Engineering Theory·Methodology·Applications

基　　金：国家自然科学基金!( 79970 0 2 7);上海市启明星计划资助

摘　　要：在介绍金融市场中的羊群效应和投资性资本收益分布的厚尾特性的基础上 ,运用概率论中的随机图理论 ,构造出一个随机性羊群效应模型。该模型能较好地刻画投资主体之间的微观联系机制 ,并很好地解释股票收益的厚尾特性。The paper presents a herd behavior model which means a random communication structure between agents generically gives rise to a heavy tails in the distribution of stock return. The model provides a link between the heavy tails in the distribution of stock market returns and herding behavior in financial markets. Our study suggests a relation between the excess kurtosis, the market order flow and the tendency of market participants to imitate each other.

关 键 词：羊群效应 收益分布 厚尾特性 随机图论 股市 

分 类 号：F830.9[经济管理—金融学] O211.6[理学—概率论与数理统计]