基于动态无标度网络的信息策略与羊群行为演化研究

doi:10.16381/j.cnki.issn1003-207x.2018.12.007

摘要/Abstract

摘要： 传统的人工股票市场效率不高，对投资者的异质性假设缺乏经济学含义，更没有考虑市场中广泛存在的羊群行为的影响。本文以国外期权市场异质信息交易者模型为基础，结合互联网金融特点在传统人工股票市场中引入异质信息策略与动态无标度人际关系网络刻画的羊群行为构建出新的人工股市模型，进行投资者的信息策略与羊群行为演化研究，对比分析不同机制的引入所带来的影响，揭示动态关系网络环境下信息策略演化结果。研究发现：一方面，信息策略演化机制的引入加快了市场均衡速率并提高了市场效率，同时也大大降低了投资者财富水平并拉大了财富差距；信息策略与羊群行为的演化并不会导致投资者完全向内幕信息交易者聚集，高、低信息档次投资者明显居多且其他信息档次投资者仍然存在。另一方面，动态关系网络下羊群行为的引入增强了投资者的被传染程度，并进一步缩小了财富差距且显著提高了内幕信息的扩散质量与效率。所以，互联网关系网络环境下高、低信息档次投资者占据相对优势，但其他信息档次投资者并不会被挤出市场；监管部门在努力寻求高市场效率的同时，也应在投资者财富与社会总财富等方面进行适当权衡。

关键词: 人工股市, 动态无标度网络, 信息策略, 羊群行为

Abstract: The market tends to be inefficient in the traditional artificial stock market,which lacks of economic implications for the heterogeneity of investors, and does not consider the influence of herd behavior that exists widely in the real market.Based on the heterogeneous information trading model in the call options market, the heterogeneous information strategy and the herd behavior in the dynamic scale-free neighbor relationship network are introduced into the traditional artificial financial market to construct the artificial stock market model, and the evolution of information strategy of the heterogeneous investor and herd behavior is studied. The influence of different mechanisms on the market is compared and analyzed and the result of information strategy evolution in dynamic relational networks is revealled. It is found that:on the one hand, the introduction of information strategy evolution mechanism speeds up the market equilibrium rate and improves the market efficiency, while also greatly reducing the level of investor wealth and widening the wealth gap. The evolution of information strategy and herd behavior does not lead investors to focus entirely on insider information traders, all the information grade investors will exist, and high information grade investors are mostly dominated and other information grade investors will not be out of the market.On the other hand, the introduction of dynamic relations network enhances the degree of infection of investors, and further narrows the wealth gap between investors, but also significantly improves the quality and efficiency of insider information diffusion.So,the investors in the high and low information grades have their own relative advantages in the process of evolution in the dynamic network,but the investors in other information grades will exist.And when the regulators seek a higher efficiency in the market, they should also make an appropriate trade-off among the market efficient,investors' wealth and total social wealth.

Key words: artificial stock market, dynamic scale-free network, information strategy, herd behavior

中图分类号:

王宗润, 潘城城. 基于动态无标度网络的信息策略与羊群行为演化研究[J]. 中国管理科学, 2018, 26(12): 66-77.

WANG Zong-run, PAN Cheng-cheng. Research on the Evolution of Information Strategy and Herd Behavior based on Dynamic Scale-free Network[J]. Chinese Journal of Management Science, 2018, 26(12): 66-77.

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