股市崩盘动力学分析和预测  

Dynamics Analysis and Forecast on Stock Market Crash

作　　者：李斯嘉[1] 李冬昕[1] 王粟旸[2] LI Si-jia LI Dong-xin WANG Su-yang(School of Management and Engineering, Nanjing University 210012 Institute of Capital Market, Shanghai Stock Exchange 200120)

机构地区：[1]南京大学工程管理学院 [2]上海证券交易所资本市场研究所

出　　处：《上海经济研究》2017年第7期42-48,共7页Shanghai Journal of Economics

基　　金：国家自然科学基金(71203144;71501131)资助

摘　　要：中国股票市场曾经在2007年和2015年发生过两次股灾,给资本市场和实体经济带来了巨大的冲击。剖析股市崩盘的传导机理、理解市场冲击以及如何有效预测股市崩盘具有重要的意义。该文借助经济物理学的方法,对上证综指和深证综指的崩盘前后动力学进行检验,并创新性地利用对数周期幂律模型研究我国股票市场泡沫的性质以及对泡沫事件进行预测。该文发现股市崩盘的特征符合G-R规律与Omori定律,但两次股市崩盘的特点并不相同,从而导致使用LPPL模型对两次崩盘进行预测的精度不同。The China stock market crash in 2007 and 2015 brought the huge impact to the capital market and the real economy. It is necessary to analyze the transmission mechanism of the stock market crash, understand its market impact and effectively predict the collapse of the stock market. This paper tests on the collapse dynamics on Shanghai Composite Index and Shenzhen Composite Index during the crash period using an economic physics way. Innovatively applying the Log-Periodic Power Law model （LPPL）, this paper finds the characteristics of the stock market crash in accordance with G-R law and Omori law. However, the characteristics of two stock market crash are distinct, which leads to the distinct accuracy in prediction.

关 键 词：股市崩盘 经济物理学 G-R规律 Omori定律 LPPL模型 

分 类 号：F832.5[经济管理—金融学]