投资者反馈交易视角下证券流动性多重分形波动的内在机理分析  

Analysis on the Internal Mechanism of Multifractal Volatility of Securities Liquidity from the Perspective of Investor Feedback Trading

作　　者：淳正杰 吴栩[1,2] 黎禾森 王培育 CHUN Zhengjie;WU Xu;LI Hesen;WANG Peiyu(School of Business,Chengdu University of Technology,Chengdu 610059,China;Post-Doctoral Research Station of Management Science and Engineering,Chengdu University of Technology,Chengdu 610059,China;College of Management Science,Chengdu University of Technology,Chengdu 610059,China)

机构地区：[1]成都理工大学商学院,四川成都610059 [2]成都理工大学管理科学与工程博士后流动站,四川成都610059 [3]成都理工大学管理科学学院,四川成都610059

出　　处：《工程管理科技前沿》2023年第6期89-96,共8页Frontiers of Science and Technology of Engineering Management

基　　金：中国博士后科学基金资助项目(2022M720545);国家自然科学基金青年资助项目(71903017);成都理工大学“双一流”建设哲学社会科学重点建设项目(ZDJS202201)。

摘　　要：针对证券流动性存在多重分形波动特征但鲜有成果探究其内在机理的背景下,本文基于投资者普遍采用正反馈和负反馈交易行为的客观事实,从投资者交易行为出发,结合分形市场假说,独辟蹊径地构建了分形耦合少数-多数派博弈(fractal coupling minority-majority game,FCMMG)模型,推演出投资者在正反馈和负反馈交易策略行为间的动态多样化选择驱使着证券流动性的多重分形波动。在此基础上,通过实证发现,仿真流动性具有多重分形波动特征,使用FCMMG解释证券流动性呈现多重分形波动特征具有合理性和有效性。研究结果既为探究证券流动性多重分形波动特征开拓了视角,也为利用证券流动性的多重分形波动进行风险预警奠定了基础。In view of the fact that securities liquidity has multifractal volatility characteristics but few achievements have been made to explore its internal mechanism.This paper,based on the fact that investors generally adopt positive or negative feedback trading behaviors,starts from the perspective of investors'trading behaviors and combines the fractal market hypothesis,the fractal coupling minority-majority game(FCMMG)model is constructed in a novel way,and finds that the multifractal volatility of securities liquidity is driven by investors'dynamic diversified choices between positive and negative feedback trading strategies.On this basis,it is found through empirical evidence that the simulated liquidity has multifractal volatility characteristics.It is reasonable and effective to use FCMMG to explain the multifractal volatility characteristics of securities liquidity.The research results not only broaden the perspective for exploring the multifractal volatility characteristics of securities liquidity,but also lay a foundation for risk warning by using multifractal volatility of securities liquidity.

关 键 词：证券流动性 多重分形波动 反馈交易 分形耦合少数-多数派博弈 

分 类 号：F830.91[经济管理—金融学]