基于随机动力系统的证券市场演化动态研究

doi:10.16381/j.cnki.issn1003-207x.2019.05.006

中国管理科学 ›› 2019, Vol. 27 ›› Issue (5): 50-56.doi: 10.16381/j.cnki.issn1003-207x.2019.05.006

基于随机动力系统的证券市场演化动态研究

赵鹏举^1,2, 张维^1,3

1. 天津大学管理与经济学部, 天津 300072;
2. 中原工学院系统与工业工程研究中心, 河南郑州 450007;
3. 中国社会计算研究中心, 天津 300072

收稿日期:2017-07-19 修回日期:2017-10-20 出版日期:2019-05-20 发布日期:2019-05-25
通讯作者: 赵鹏举(1976-),男(汉族),河南唐河县人,中原工学院,副教授,硕士生导师,天津大学管理与经济学院博士后,研究方向:金融风险管理、行为金融、固定收益债券,E-mail:arnoldzhao@126.com E-mail:arnoldzhao@126.com
基金资助:
国家自然科学基金重大资助项目（71790594）；重大国际（地区）合作研究项目（71320107003）；中原工学院交叉学科团队支持计划资助项目

Stock Market Evolution Research Based on Random Dynamic System

ZHAO Peng-ju^1,2, ZHANG Wei^1,3

1. Tianjin University, college of management and economics, Tianjin 300072, China;
2. Zhongyuan University of Technology, Zhengzhou 450007, China;
3. China Center for Social Computing and Analytics, Tianjin 300072, China

Received:2017-07-19 Revised:2017-10-20 Online:2019-05-20 Published:2019-05-25

摘要/Abstract

摘要： 为刻画异质交易者并存证券市场的演化动态，分析非理性交易者在市场中是否会最终灭绝，建立了一个随机动力系统模型，将新进入者对市场演化长期均衡的影响纳入模型，描述作为开放系统的证券市场演化轨迹。通过对模型的分析，讨论了模型解的存在性和唯一性，分析了市场演化系统的长期发展动态，证明在一定条件下，非理性交易者也可以在市场中长期存在。

关键词: 行为金融, 非理性交易者, 证券市场演化, 随机动力系统

Abstract: Alchian, Friedman and Fama proposed that market participants who pursued the maximum return would survive and profit, and irrational traders would be ultimately eliminated due to long term losses. It was called Market Selection Hypothesis. The law of securities market evolution is analyzed in this paper where rational traders and irrational traders coexist by ideas of biological evolution. A differential dynamic system model, as well as a random dynamic system model, is established to describe a law of stock market evolution. It is discussed whether irrational traders should be eliminated by securities market evolution. The impact of new entrants on securities market evolutionary long-term equilibrium is considered. As well, the existence and uniqueness of the model's solution are discussed. Based on the model, using Ito's lemma, it is proved irrational traders could exit in the long-term under some conditions. Finally the suggested conclusion is verified through numerical simulation.

Key words: behavior finance, irrational traders, stock market evolution, random dynamical system

中图分类号:

F830.91

赵鹏举, 张维. 基于随机动力系统的证券市场演化动态研究[J]. 中国管理科学, 2019, 27(5): 50-56.

ZHAO Peng-ju, ZHANG Wei. Stock Market Evolution Research Based on Random Dynamic System[J]. Chinese Journal of Management Science, 2019, 27(5): 50-56.

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基于随机动力系统的证券市场演化动态研究

Stock Market Evolution Research Based on Random Dynamic System

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