基于LPPL模型的我国股票市场泡沫预测研究  

Research on the Prediction of Stock Market Bubble in China Based on LPPL Model

作　　者：李旸[1] 张作文 程逸飞 LI Yang;ZHANG Zuo-wen;CHENG Yi-fei(School of Economics,Sichuan University,Chengdu 610064,China)

机构地区：[1]四川大学经济学院,四川成都610064

出　　处：《国土资源科技管理》2021年第2期98-113,共16页Scientific and Technological Management of Land and Resources

基　　金：国家社会科学基金项目(19BJL128、19BJY100)。

摘　　要：资本市场的突发性变故会对我国经济造成严重的影响,对股市泡沫进行必要的防范和控制成为当下管理层制定资本市场政策的必然需求。在分形理论的指导之下,从泡沫的自组织系统方面对我国股票市场泡沫进行研究分析。在此基础之上,将对数周期幂律(LPPL)模型以及遗传算法应用于我国上证综合指数和深圳成份指数的分析之中,对二者历史上的四次泡沫进行拟合,进而分析预测两个指数的中长期走势,最后对我国股市泡沫提出了相应的政策建议。The sudden changes in the capital market had a serious impact on China’s economy so that the necessary prevention and control of the stock market bubble has become an inevitable demand for the current capital market policies.Under the guidance of the fractal theory,this paper studies and analyzes the bubble in China’s stock market from the perspective of the bubble’s self-organizing system.On this basis,the logarithmic periodic power law(LPPL)model and genetic algorithm are applied to the analysis of Shanghai Composite Index and Shenzhen component Index in China,and the four bubbles in their history are fitted.Then the long-term trend of the two indexes is analyzed and predicted.Finally,the corresponding policy suggestions are put forward.

关 键 词：分形理论 长记忆性 股市泡沫 对数周期幂律(LPPL)模型 

分 类 号：F832.5[经济管理—金融学]