股票市场的演化与复杂课件

1、股票市场的演化与复杂1报告人：应尚军报告人：应尚军日日 期：期：2008.5.292008.5.29股票市场的演化与复杂21 主要研究领域主要研究领域2 股票市场复杂性研究成果介绍股票市场复杂性研究成果介绍3 进一步的研究工作进一步的研究工作股票市场的演化与复杂31.1 股票市场复杂性1.2 价值评估1.3 项目管理股票市场的演化与复杂42.1 研究背景1）金融危机与金融脆弱性理论（1）从金融制度和金融结构出发 马克思的“金融危机理论”、埃文费雪(Irving Fisher)的“债务与金融脆弱论”、海曼明斯基(Hyman P. Minsky)的“金融脆弱性假说”、克鲁格曼(Krugman)的“

2、金融过度论”以及董小君1等其它学者关于金融风险预警机制的研究；（2）从经济主体行为出发。凯恩斯的“不确定性”模型、米尔顿弗里德曼(Milton Friedman)的“银行信心论”、米什金(Mishkin)的“不均衡信息论”、I.P戴维斯(Davis)的“监测预警论”、Gerlachand Smets，Masson等人的“金融危机蔓延的预期理论”。2）复杂性科学的兴起 股票市场的演化与复杂5股票市场的演化与复杂6 股票市场的演化与复杂7l问题的本质因果l还原论科科学：用微分方程阐述l复杂性科学：以演化模型阐述)(xfy ff股票市场的演化与复杂8离散空间模型离散空间模型股票市场的演化与复杂92.

3、3.1 股票市场演化元胞自动机模型元胞：投资者空间：与流通股规模相当的网格状态：买入，持有，卖出邻居： -1 0000011股票市场的演化与复杂10;,1tLtspfs-1 0000011?股票市场的演化与复杂11基本分析规则技术分析规则心理分析规则:321ffff其中，f1如下：股票市场的演化与复杂120123.366780123456ln(N)ln(R/S)Data LineTrend LineH=0.83 2.3.2 投资者心理与市场复杂性市场产生有偏的随机游动股票市场的演化与复杂130.40.50.60.70.80.911.11.200.20.40.60.81pHbuyholdsell

4、市场心理与市场偏倚股票市场的演化与复杂14peW8 .20616 .90212.3.3 投资者心理与市场稳定性股票市场的演化与复杂1501020304050050010001500TCCbChCs0123450100020003000TCCbChCsAm为0.1时的C值图Am为0.9时的C值图2.3.4 外部因素与市场均衡股票市场的演化与复杂16 (a)(a)分块型分块型1 (b)1 (b)分块型分块型2 (c)2 (c)条带型条带型 (d) (d)全部买入型全部买入型 (e)(e)全部持有型全部持有型 (f)(f)全部卖出型全部卖出型 演化空间的平衡状态2.3.5 基于视觉审视的市场初值敏感

5、性股票市场的演化与复杂17股票市场的演化与复杂18由某次实验所得的三维重构相图股票市场的演化与复杂19实验所得数据经打乱后的三维重构相图 股票市场的演化与复杂20不同嵌入维下的ln(Cm)ln(R)关系图股票市场的演化与复杂21不同嵌入维下的分形维 股票市场的演化与复杂22l演化模型与现实市场的逼近程度分析情形一 l基本因素对市场行为的作用的实证检验情形二 l技术因素对市场行为的作用的实证检验情形三 l简单是否可以模拟复杂情形四 股票市场的演化与复杂23l规则的完善与检验l程序的完善l研究对象的拓展l市场影响因素的细化与可操作化l政策建议l金融中心演化的动力学机制股票市场的演化与复杂24股票市

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