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1、股票市場(chǎng)的演化與復(fù)雜1報(bào)告人：應(yīng)尚軍報(bào)告人：應(yīng)尚軍日日 期：期：2008.5.292008.5.29股票市場(chǎng)的演化與復(fù)雜21 主要研究領(lǐng)域主要研究領(lǐng)域2 股票市場(chǎng)復(fù)雜性研究成果介紹股票市場(chǎng)復(fù)雜性研究成果介紹3 進(jìn)一步的研究工作進(jìn)一步的研究工作股票市場(chǎng)的演化與復(fù)雜31.1 股票市場(chǎng)復(fù)雜性1.2 價(jià)值評(píng)估1.3 項(xiàng)目管理股票市場(chǎng)的演化與復(fù)雜42.1 研究背景1）金融危機(jī)與金融脆弱性理論（1）從金融制度和金融結(jié)構(gòu)出發(fā) 馬克思的“金融危機(jī)理論”、埃文費(fèi)雪(Irving Fisher)的“債務(wù)與金融脆弱論”、海曼明斯基(Hyman P. Minsky)的“金融脆弱性假說(shuō)”、克魯格曼(Krugman)的“
2、金融過(guò)度論”以及董小君1等其它學(xué)者關(guān)于金融風(fēng)險(xiǎn)預(yù)警機(jī)制的研究；（2）從經(jīng)濟(jì)主體行為出發(fā)。凱恩斯的“不確定性”模型、米爾頓弗里德曼(Milton Friedman)的“銀行信心論”、米什金(Mishkin)的“不均衡信息論”、I.P戴維斯(Davis)的“監(jiān)測(cè)預(yù)警論”、Gerlachand Smets，Masson等人的“金融危機(jī)蔓延的預(yù)期理論”。2）復(fù)雜性科學(xué)的興起 股票市場(chǎng)的演化與復(fù)雜5股票市場(chǎng)的演化與復(fù)雜6 股票市場(chǎng)的演化與復(fù)雜7l問(wèn)題的本質(zhì)因果l還原論科科學(xué)：用微分方程闡述l復(fù)雜性科學(xué)：以演化模型闡述)(xfy ff股票市場(chǎng)的演化與復(fù)雜8離散空間模型離散空間模型股票市場(chǎng)的演化與復(fù)雜92.
3、3.1 股票市場(chǎng)演化元胞自動(dòng)機(jī)模型元胞：投資者空間：與流通股規(guī)模相當(dāng)?shù)木W(wǎng)格狀態(tài)：買入，持有，賣出鄰居： -1 0000011股票市場(chǎng)的演化與復(fù)雜10;,1tLtspfs-1 0000011?股票市場(chǎng)的演化與復(fù)雜11基本分析規(guī)則技術(shù)分析規(guī)則心理分析規(guī)則:321ffff其中，f1如下：股票市場(chǎng)的演化與復(fù)雜120123.366780123456ln(N)ln(R/S)Data LineTrend LineH=0.83 2.3.2 投資者心理與市場(chǎng)復(fù)雜性市場(chǎng)產(chǎn)生有偏的隨機(jī)游動(dòng)股票市場(chǎng)的演化與復(fù)雜130.40.50.60.70.80.911.11.200.20.40.60.81pHbuyholdsell
4、市場(chǎng)心理與市場(chǎng)偏倚股票市場(chǎng)的演化與復(fù)雜14peW8 .20616 .90212.3.3 投資者心理與市場(chǎng)穩(wěn)定性股票市場(chǎng)的演化與復(fù)雜1501020304050050010001500TCCbChCs0123450100020003000TCCbChCsAm為0.1時(shí)的C值圖Am為0.9時(shí)的C值圖2.3.4 外部因素與市場(chǎng)均衡股票市場(chǎng)的演化與復(fù)雜16 (a)(a)分塊型分塊型1 (b)1 (b)分塊型分塊型2 (c)2 (c)條帶型條帶型 (d) (d)全部買入型全部買入型 (e)(e)全部持有型全部持有型 (f)(f)全部賣出型全部賣出型 演化空間的平衡狀態(tài)2.3.5 基于視覺(jué)審視的市場(chǎng)初值敏感
5、性股票市場(chǎng)的演化與復(fù)雜17股票市場(chǎng)的演化與復(fù)雜18由某次實(shí)驗(yàn)所得的三維重構(gòu)相圖股票市場(chǎng)的演化與復(fù)雜19實(shí)驗(yàn)所得數(shù)據(jù)經(jīng)打亂后的三維重構(gòu)相圖 股票市場(chǎng)的演化與復(fù)雜20不同嵌入維下的ln(Cm)ln(R)關(guān)系圖股票市場(chǎng)的演化與復(fù)雜21不同嵌入維下的分形維 股票市場(chǎng)的演化與復(fù)雜22l演化模型與現(xiàn)實(shí)市場(chǎng)的逼近程度分析情形一 l基本因素對(duì)市場(chǎng)行為的作用的實(shí)證檢驗(yàn)情形二 l技術(shù)因素對(duì)市場(chǎng)行為的作用的實(shí)證檢驗(yàn)情形三 l簡(jiǎn)單是否可以模擬復(fù)雜情形四 股票市場(chǎng)的演化與復(fù)雜23l規(guī)則的完善與檢驗(yàn)l程序的完善l研究對(duì)象的拓展l市場(chǎng)影響因素的細(xì)化與可操作化l政策建議l金融中心演化的動(dòng)力學(xué)機(jī)制股票市場(chǎng)的演化與復(fù)雜24股票市
6、場(chǎng)的演化與復(fù)雜25G5D2A-x*u$qZnWkShPdMaJ7F4C1z)w&s!pYmUjRgOcL9H6E3B+y(v%r#oWlTiQeNbK8G5D1A-x*t$qZnVkSgPdMaI7F4C0z)v&s!pXmUjRfOcL9H6E2B+y(u%r#oWlThQeNbJ8G5D1A-w*t$qYnVkSgPdLaI7F3C0z)v&s#pXmUiRfOcK9H5E2B+x(u%rZoWkThQeMbJ8G4D1z-w*t!qYnVjSgPdLaI6F3C0y)v&s#pXlUiRfNcK9H5E2A+x(u$rZoWkThPeMbJ7G4D1z-w&t!qYmVjSgOdL9I6
7、F3B0y)v%s#oXlUiQfNcK8H5E2A+x*u$rZnWkThPeMaJ7G4C1z-w&t!pYmVjRgOdL9I6E3B0y(v%s#oXlTiQfNbK8H5D2A-x*u$qZnWkShPdMaJ7F4C1z)w&t!pYmUjRgOcL9I6E3B+y(v%r#oXlTiQeNbK8G5D2A-x*t$qZnVkShPdMaI7F4C0z)w&s!pXmUjRfOcL9H6E2B+y(u%r#oWlThQeNbJ8G5D1A-x*t$qYnVkSgPdMaI7F3C0z)v&s!pXmUiRbK8G5D2A-x*t$qZnVkShPdMaI7F4C0z)w&s!pXm
8、UjRfOcL9H6E3B+y(u%r#oWlTiQeNbJ8G5D1A-x*t$qYnVkSgPdMaI7F3C0z)v&s!pXmUiRfOcK9H6E2B+x(u%rZoWlThQeMbJ8G4D1A-w*t!qYnVjSgPdLaI7F3C0y)v&s#pXmUiRfNcK9H5E2B+x(u$rZoWkThQeMbJ7G4D1z-w*t!qYmVjSgOdLaI6F3B0y)v%s#pXlUiQfNcK8H5E2A+x(u$rZnWkThPeMbJ7G4C1z-w&t!qYmVjRgOdL9I6F3B0y(v%s#oXlUiQfNbK8H5D2A+x*u$qZnWkShPeMaJ7F
9、4C1z)w&t!pYmUjRgOcL9I6E3B0y(v%r#oXlTiQfNbK8G5D2A-x*u$qZnVkShPdMaJ7F4C0z)w&s!pYmUjRfOcL9H6E3B+y(u%r#oWlTiQeNbJ8G5D1A-x*t$qZnVkSgPdMaI7F4C0z)v&s!pXmUjRfOcK9H6E2B+y(u%rZoWlThQeNbJ8G4D1A-w*t$qYnVjSgPdLaI7F3C0y)v&s#pXmUiRfOcK9H5E2B+x(u%rZoWkThQeMbJ8G4D1z-wpXmUjRfOcK9H6E2B+y(u%rZoWlThQeNbJ8G4D1A-w*t$qYnVj
10、SgPdLaI7F3C0z)v&s#pXmUiRfOcK9H5E2B+x(u%rZoWkThQeMbJ8G4D1z-w*t!qYnVjSgOdLaI6F3C0y)v%s#pXlUiRfNcK8H5E2A+x(u$rZoWkThPeMbJ7G4D1z-w&t!qYmVjSgOdL9I6F3B0y)v%s#oXlUiQfNcK8H5D2A+x*u$rZnWkShPeMaJ7G4C1z)w&t!pYmVjRgOcL9I6E3B0y(v%s#oXlTiQfNbK8H5D2A-x*u$qZnWkShPdMaJ7F4C1z)w&s!pYmUjRgOcL9H6E3B+y(v%r#oWlTiQeNbK8G5D
11、1A-x*pYmVjRgOdL9I6E3B0y(v%s#oXlTiQfNbK8H5D2A-x*u$qZnWkShPdMaJ7F4C1z)w&s!pYmUjRgOcL9H6E3B+y(v%r#oXlTiQeNbK8G5D2A-x*t$qZnVkShPdMaI7F4C0z)w&s!pXmUjRfOcL9H6E2B+y(u%r#oWlThQeNbJ8G5D1A-w*t$qYnVkSgPdLaI7F3C0z)v&s!pXmUiRfOcK9H6E2B+x(u%rZoWlThQeMbJ8G4D1A-w*t!qYnVjSgPdLaI6F3C0y)v&s#pXlUiRfNcK9H5E2A+x(u$rZoWkT
12、hQeMbJ7G4D1z-w*t!qYmVjSgOdLaI6F3B0y)v%s#pXlUiQfNcK8H5E2A+x*u$rZnWkThPeMaJ7G4C1z-w&t!pYmVjRgOdL9I6E3B0y(v%s#oXlUiQfNbK8H5D2A+x*u$qZnWkShPeMaJ7F4C1z)w&t!pYmUjRgOcL9I6E3Bu$rZnWkThPeMaJ7G4C1z-w&t!qYmVjRgOdL9I6F3B0y(v%s#oXlUiQfNbK8H5D2A+x*u$qZnWkShPeMaJ7F4C1z)w&t!pYmUjRgOcL9I6E3B+y(v%r#oXlTiQeNbK8G5D2A-x
13、*u$qZnVkShPdMaJ7F4C0z)w&s!pYmUjRfOcL9H6E3B+y(u%r#oWlTiQeNbJ8G5D1A-x*t$qYnVkSgPdMaI7F3C0z)v&s!pXmUjRfOcK9H6E2B+y(u%rZoWlThQeNbJ8G4D1A-w*t$qYnVjSgPdLaI7F3C0y)v&s#pXmUiRfNcK9H5E2B+x(u$rZoWkThQeMbJ8G4D1z-w*t!qYnVjSgOdH6E2B+y(u%rZoWlThQeNbJ8G4D1A-w*t$qYnVjSgPdLaI7F3C0y)v&s#pXmUiRfNcK9H5E2B+x(u%rZoWkThQeM
14、bJ8G4D1z-w*t!qYnVjSgOdLaI6F3C0y)v%s#pXlUiRfNcK8H5E2A+x(u$rZnWkThPeMbJ7G4C1z-w&t!qYmVjSgOdL9I6F3B0y)v%s#oXlUiQfNcK8H5D2A+x*u$rZnWkShPeMaJ7G4C1z)w&t!pYmVjRgOcL9I6E3B0y(v%r#oXlTiQfNbK8G5D2A-x*u$qjSgOdL9I6F3B0y)v%s#oXlUiQfNcK8H5D2A+x*u$rZnWkShPeMaJ7G4C1z)w&t!pYmVjRgOcL9I6E3B0y(v%s#oXlTiQfNbK8H5D2A-x*u$q
15、ZnWkShPdMaJ7F4C1z)w&s!pYmUjRgOcL9H6E3B+y(v%r#oWlTiQeNbK8G5D1A-x*t$qZnVkShPdMaI7F4C0z)w&s!pXmUjRfOcL9H6E2B+y(u%r#oWlThQeNbJ8G5D1A-w*t$qYnVkSgPdLaI7F3C0z)v&sWlTiQeNbK8G5D2A-x*t$qZnVkShPdMaI7F4C0z)w&s!pXmUjRfOcL9H6E2B+y(u%r#oWlThQeNbJ8G5D1A-w*t$qYnVkSgPdLaI7F3C0z)v&s!pXmUiRfOcK9H6E2B+x(u%rZoWlThQeMbJ8G
16、4D1A-w*t!qYnVjSgPdLaI6F3C0y)v&s#pXlUiRfNcK9H5E2A+x(u$rZoWkThPeMbJ7G4D1z-w*t!qYmVjSgOdLaI6F3B0y)v%s#pXlUiQfNcK8H5E2A+x*u$rZnWkThPeMaJ7G4C1z-w&t!lUiRfNcK9H5E2B+x(u$rZoWkThQeMbJ7G4D1z-w*t!qYmVjSgOdLaI6F3B0y)v%s#pXlUiQfNcK8H5E2A+x*u$rZnWkThPeMaJ7G4C1z-w&t!pYmVjRgOdL9I6F3B0y(v%s#oXlUiQfNbK8H5D2A+x*u$qZnW
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18、E2A+x(u$rZnWkThPeMbJ7G4C1z-w&t!qYmVjRgOdL9I6F3B0y(v%s#ohQeMbJ8G4D1z-w*t!qYnVjSgOdLaI6F3C0y)v%s#pXlUiRfNcK8H5E2A+x(u$rZnWkThPeMbJ7G4C1z-w&t!qYmVjRgOdL9I6F3B0y)v%s#oXlUiQfNcK8H5D2A+x*u$rZnWkShPeMaJ7G4C1z)w&t!pYmVjRgOcL9I6E3B0y(v%r#oXlTiQfNbK8G5D2A-x*u$qZnWkShPdMaJ7F4C1z)w&s!pYmUjRgOcL9H6E3B+y(v%r#oWlT
19、iQeNbK8G5D1A-x*t$qZnVkSgPdMaI7F4C0z)v&s!pXmUjRfOcL9H6E2x*u$qZnWkShPdMaJ7F4C1z)w&s!pYmUjRgOcL9H6E3B+y(v%r#oWlTiQeNbK8G5D1A-x*t$qZnVkSgPdMaI7F4C0z)w&s!pXmUjRfOcL9H6E2B+y(u%r#oWlThQeNbJ8G5D1A-w*t$qYnVkSgPdLaI7F3C0z)v&s#pXmUiRfOcK9H5E2B+x(u%rZoWlThQeMbJ8G4D1A-w*t!qYnVjSgPdLaI6F3C0y)v&s#pXlUiRfNcK9H5E2A+
20、x(u$rZoWkThPeMbJ7G4D1z-w&t!qYmVjSgOdL9I6F3B0y)v%s#pXlUiQfNcK8H5E2A+x*u$rZngPdLaI6F3C0y)v&s#pXlUiRfNcK9H5E2A+x(u$rZoWkThPeMbJ7G4D1z-w*t!qYmVjSgOdLaI6F3B0y)v%s#pXlUiQfNcK8H5E2A+x*u$rZnWkThPeMaJ7G4C1z-w&t!pYmVjRgOdL9I6E3B0y(v%s#oXlTiQfNbK8H5D2A+x*u$qZnWkShPeMaJ7F4C1z)w&t!pYmUjRgOcL9I6E3B+y(v%r#oXlTiQeN
21、bK8G5D2A-x*t$qZnVkShPdMaI7F4C0z)s#oXlUiQfNbK8H5D2A+x*u$qZnWkShPeMaJ7F4C1z)w&t!pYmUjRgOcL9I6E3B+y(v%r#oXlTiQeNbK8G5D2A-x*t$qZnVkShPdMaJ7F4C0z)w&s!pYmUjRfOcL9H6E3B+y(u%r#oWlTiQeNbJ8G5D1A-x*t$qYnVkSgPdMaI7F3C0z)v&s!pXmUiRfOcK9H6E2B+y(u%rZoWlThQeNbJ8G4D1A-w*t$qYnVjSgPdLaI7F3C0y)v&s#pXmUiRfNcK9H5E2B+x(u$rZoWkThQeMbJ7G4D1z-w*t!qYnVjSg9H6E2B+y(u%rZoWlThQeNbJ8G4D1A-w*t$qYnVjSgPdLaI7F3C0y)v&s#pXmUiRfNcK9H5E2B+x(u$rZoWkThQeMbJ8G4D1z-w*t!qYnVjSgOdLaI6F3C0y)v%s#pXlUiRfNcK8H5E2A+x(u$rZnWkThPeMbJ7G4C1z-w&t!qYmVjRgOdL9
股票市場(chǎng)的演化與復(fù)雜課件
