基于扩展的DSSW模型的资产价格泡沫生成演化建模及仿真研究  

A Research on the Modeling and Simulation of the Formation and Evolution of Asset Price Bubbles Based on Extended DSSW Model

作　　者：毕建欣 雷良海[1] 彭勃 BI Jian-xin;LEI Liang-hai;PENG bo(Faculty of Management, University of Shanghai for Science and Technology, Shanghai 200093, China;Business School, Zhejiang Wangli University, Ningbo 315100, China;School of Management, Nanchang University, Nanchang 330031, China)

机构地区：[1]上海理工大学管理学院,上海200093 [2]浙江万里学院商学院,浙江宁波315100 [3]南昌大学管理学院,江西南昌330031

出　　处：《预测》2019年第2期83-89,共7页Forecasting

基　　金：国家自然科学基金资助项目(71761027);宁波市与中国社会科学院共建项目(NZKT201736)

摘　　要：本文在扩展的DSSW模型基础上,构建资产价格泡沫生成演化膨胀过程模型。将金融市场内部交易主体的过度自信而导致的认知偏差与外部基础因素即货币供给和金融监管嵌入到DSSW模型中。由此揭示:不仅构成交易主体的动态结构比例对资产价格泡沫的生成起决定作用,而且金融市场内部因素和外部基础因素也对资产价格泡沫的膨胀过程起到推波助澜的影响,并对所建模型进行仿真模拟,得出结论:由直觉系统决策的交易者占比、跟风交易者占比、认知偏差影响因子、货币供给影响因子和金融监管缺失影响因子越大,资产价格泡沫膨胀越快,以此结论为依据,从金融市场的内归因与外归因角度对资产价格泡沫的防范提出政策建议。In this research, first of all, a model simulating the formation and evolution of asset price bubbles is created based on the extended DSSW Model. Secondly, cognitive bias caused by overconfidence of internal transaction main bodies in the financial market and external fundamental elements, namely, money supply and financial supervision, are integrated with the DSSW Model. Then it is revealed that not only will the proportion of dynamic structure that constitutes transaction main body that determines the formation of asset price bubbles, but the internal factors and external fundamental factors of the financial market also contribute to the extension of asset price bubbles. Thirdly, the model is simulated and corresponding conclusion is summarized: the higher the proportion of traders who make decisions by intuition system, the higher the proportion of those who make transactions by following the trend and the larger the influence factors of cognitive deviation, money supply and the lack of financial supervision are, the faster the asset price bubbles will expand. In this context, corresponding suggestions on the prevention of asset price bubbles are proposed from the perspectives of internal attributions and external attributions of the financial market.

关 键 词：资产价格泡沫 交易主体 DSSW模型 

分 类 号：F830.91[经济管理—金融学]