网络近邻择优策略下的股市羊群行为演化模型及仿真

摘要/Abstract

摘要： 以行为金融理论和复杂网络理论为基础,针对股市投资者行为的"模仿"性特征,从投资者自我心理偏好和近邻行为效应两个维度,构建网络近邻择优策略下的股市羊群行为演化模型,理论分析股市羊群行为的演化动力学特征,并进行模拟仿真。研究结果表明:投资者投资行为演化路径受股市网络结构和近邻择优效应影响;近邻择优函数的凹凸性直接关系投资者投资行为动力学均衡态的稳定性;股市网络连通度和异质性对投资者投资行为均衡演变趋势具有重要作用;初始投资行为状态特征对投资者投资行为均衡态影响较小。所建立的模型及分析结论在一定程度上阐述了影响股市投资者投资行为变化的特征要素,解释了股市羊群行为演变的内在性规律,为金融管理部门制定宏观政策起到了一定理论支撑。

关键词: 复杂网络, 近邻择优, 羊群行为, 演化模型

Abstract: Considering the inherent characteristics of investors’ imitation, herding behavior evolution model in stock market is developed from two dimensions of investors’ self-psychological preference and the effect of neighbors’ behavior based on the behavioral finance theory and complex network theory. By applying theoretical and simulation analysis of the dynamic characteristics of the evolution of herding behavior in stock market, some critical conclusions are drawn as follows. First, the evolution of investor’ behavior is affected by the network structure of stock market and the effect of neighbors preference. Second, the stability of equilibrium states of investors’ behavior dynamics is directly related with the concavity and convexity of the neighbors preference function. Third, connectivity and heterogeneity of the network plays an important role in the evolution of the investment behavior in stock market. Fourth, the evolution equilibrium is barely affected by the initial state of the investors’ behavior. It can be seen that, to some extent, the model and the conclusions effectively elaborate the factors which affect investor’ behavior and describe the internal law of the evolution of herding behavior, so as to offer the supportive theoretical evidence for financial management department to develop policies.

Key words: complex networks, neighbor preferred, herding behavior, evolution model

中图分类号:

F830
C931

卞曰瑭, 李金生, 何建敏, 庄亚明. 网络近邻择优策略下的股市羊群行为演化模型及仿真[J]. 中国管理科学, 2013, 21(3): 40-49.

BIAN Yue-tang, LI Jin-sheng, HE Jian-min, ZHUANG Ya-ming. Evolution Model of Herding Behavior in Stock Market and Its Simulation Based on the Strategy of Neighbor Preferred in Network[J]. Chinese Journal of Management Science, 2013, 21(3): 40-49.

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