股市风险传染的二次感染SIR模型  

A secondary infection SIR model of stock market risk contagion

作　　者：陈炜 王玉[1] 刘雪勇 Chen Wei;Wang Yu;Liu Xueyong(School of Management and Engineering,Capital University of Economics and Business,Beijing 100070,China)

机构地区：[1]首都经济贸易大学管理工程学院,北京100070

出　　处：《系统工程学报》2023年第6期791-811,共21页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(72071134);北京市属高校高水平科研创新团队建设支持计划资助项目(BPHR20220120).

摘　　要：基于个体差异性理论,股价波动较大的股市被划分为感染市场,其它价格波动不大的股市根据风险防御能力进一步被划分为易感染市场和免疫市场。考虑到一些感染市场可能再次会受到其它关联市场和政策等因素的影响,设计了考虑二次感染的股市风险传染SIR模型.通过仿真的方法显示了不同状态市场数量的变化情况.基于风险阈值数理分析验证了同时采取事前和事后的风险防控策略效果最佳,并提示监管部门加大风险防控力度,以应对二次感染发生后风险传播范围激增的情况.实例验证了模型在预测股市风险传染范围变化趋势方面的有效性及鲁棒性,有助于投资者了解政策变化冲击下市场风险的未来变化趋势,从而更好地规避风险.Based on individual differences theory,highly volatile markets are classified as infected markets,while other markets are divided into susceptible markets and removed markets based on their risk resistance.Considering that some infected markets may be re-affected by related markets,policies and etc,a SIR model for market risk transmission considering secondary infections was designed.Firstly,the number of markets with different states is simulated.Secondly,from the mathematical analysis of the risk thresholds,it is proved that simultaneously adopting pre-event and post-event risk control strategies performs the best,and regulators are advised to increase risk prevention efforts to cope with the expansion of risk transmission scope after the secondary infections.Finally,an example verifies the effectiveness and robustness of the model in predicting the trend of the stock market risk transmission range,helping investors understand the future trend of market risk under policy changes and better avoid risks.

关 键 词：股市风险 传染病模型 二次感染 风险传染 风险防控 

分 类 号：TP273[自动化与计算机技术—检测技术与自动化装置]