具有外部激励的股票价格振荡与模拟  

Stock Price Oscillation and Simulation with External Incentives

作　　者：陈琼豪[1,2] 应益荣 岳焱[1] CHEN Qionghao;YING Yirong;YUE Yan(School of Economics,Shanghai University,Shanghai 200444,China;Business School,Shanghai Jian Qiao University,Shanghai 201306,China)

机构地区：[1]上海大学经济学院,上海200444 [2]上海建桥学院商学院,上海201306

出　　处：《系统管理学报》2020年第3期443-451,共9页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(71171128)。

摘　　要：随着单边贸易主义的抬头和中国金融市场的进一步开放,跨境资本流动波动性增强,中国股票市场的系统性风险也不断提高。在中美贸易战和中国经济转型的背景下,中国需探讨如何预防股市崩盘的方法。以复杂系统的自组织理论为视角和框架,建立基于单自由度系统受迫振动的股市崩盘自组织模型。从走势形态、量价关系、幂律性质和动量效应4个方面与历史上股市崩盘的真实数据进行对比,证明了模型具有良好的拟合性。同时研究了股市崩盘的过程并探讨了其中的内在机理,为预测股灾发生提供理论基础。With the rise of unilateral trading doctrine and the further opening of China’s financial market,the volatility of cross-border capital flows has increased,so has the systemic risk of China’s stock market.In the context of the Sino-US trade war and China’s economic transformation,China needs to explore ways to prevent the stock market crash.Based on the self-organization theory of complex systems,this paper establishes a self-organization model of stock market crash based on forced vibration of the single degree of freedom system.Besides,it compares the real data stock market crash in history from trend form,volumeprice relationship,power-law property,and momentum effect,which proves the reliability of the model.Moreover,it studies the process of stock market crash and discusses the internal mechanism to provide a theoretical basis for predicting the occurrence of stock market crash.

关 键 词：股市崩盘 振动理论 自组织系统 金融物理 

分 类 号：F830.91[经济管理—金融学]