证券投资者群体行为的系统描述  

A System Approach to the Modeling of Investors' Collective Behavior

作　　者：刘海龙[1] 郑立辉[2] 吴冲锋[1] 

机构地区：[1]上海交通大学安泰管理学院,上海200052 [2]国联安基金管理有限公司,上海200121

出　　处：《上海交通大学学报》2004年第3期347-350,共4页Journal of Shanghai Jiaotong University

基　　金：国家自然科学基金资助项目(70173031);上海市社科基金资助项目(2003BJL007)

摘　　要：利用分布参数系统模型研究了证券市场中投资者的群体行为.引入了投资者关于其自身因素的分布函数,把投资者行为定义为n维因素空间中的轨线,建立了投资者群体行为分布函数满足的偏微分方程,描述了投资者群体行为的变化规律,并证明了该方程的重要性质.在一定假设条件下,建立了不同资金禀赋的投资者行为分布函数满足的偏微分方程,并给出了解析解.This paper presented a distributed parameter system model to describe investors' collective behavior in securities market. First, a distribution function of investors over their attributes is introduced, with which the investors' behavior is defined as tracks in an n -dimensional factor space. Then a partial differential equation (PDE) is derived to describe investors' collective behavior, and important characters for the PDE are given and proved. Finally, a specific PDE governing the distribution function of investors with different wealth endowment is presented under proper assumptions and a close-form solution is obtained.

关 键 词：证券市场 投资者群体行为 风险偏好 资金禀赋 

分 类 号：F831[经济管理—金融学]