摘要
投资者信念传染、投资思想体系演化及其对市场的影响,是当前金融(包括行为金融)研究领域的热点问题之一。借鉴SIRS型传染病模型的建模思想,并融入交易者自适应进出市场的机制,建立基于情绪传染的自适应变主体股市演化模型。对模型进行理论和数值仿真分析发现:①在同一核心演化机制下,股市情绪传染与自适应机制内生地驱动股价呈现基本面价值稳定均衡、局部收敛与发散等不同形态;②股市情绪极值点与股价极值点不同步。
Investors＇ sentiment contagion,evolution of financial ideologies and their effects on stock markets,are one of popular research problems in modern finance,including behavioral finance.Based on the modeling idea of SIRS infectious disease,a stock market evolution model with adaptive multi-agents and sentiment contagion is built by incorporating mechanism that investors adaptively flow in and out the markets.Theoretical analyses and numerical simulation show that：（1） In the same core evolution dynamics,market sentiment contagion and adaptivity mechanism can endogenetically drive the stock price to the equilibrium in terms of fundamental value while converging and diverging locally;（2） The arriving of market sentiment extrema and the price＇s extrema is asynchronous.
出处
《系统管理学报》
CSSCI
北大核心
2011年第3期327-334,共8页
Journal of Systems & Management
基金
国家自然科学基金资助项目(7080101970771029)
广东省自然科学基金资助项目(07001795)
广东省哲学社会科学"十一五"规划学科共建项目基金资助项目(06GO03)
