信息对股票价格波动影响的行为金融研究.pdfVIP

摘 要 行为金融理论是自20 世纪80 年代兴起的金融学说，目前是西方国家金融研究 和实践的前沿领域，它突破了现代金融理论严格而偏离现实的假设条件，吸收了现 代心理学的研究成果，使金融学研究建立在现实的假设条件上，从而开辟了金融学 研究的新世纪．连续渗流模型源自统计物理学，被引入到信息传导模型的研究之中， 实现了信息传导对投资者决策影响的量化分析． 首先，论文回顾了行为金融理论的产生历史与发展过程，介绍了目前行为金融 和连续渗流模型的研究现状．文章系统地阐释了行为金融学的理论基础和模型以及 行为金融理论对于实际市场异常现象的解释，并引入了基于行为金融学的股市信息 理论． 之后，论文在分析投资者行为方式的基础上，利用连续渗流模型，构建了股市 信息传导模型．在市场非完全有效和投资者有限理性的假设前提下，将行为金融分 析得出的投资者反应模式引入信息传导的渗流模型，使这一模型能够更有效的解释 市场现象． 最后，论文进行了数值模拟，讨论了模型中参数意义与作用．将实际数据与行 为金融模型与传统模型的模拟结果进行对比，得出了资本市场中的异常现象更加合 理的解释，以分析结果为依据得出市场发展趋势和市场有效化的方法． 关键词：行为金融，连续渗流，股价波动，信息传导 ABSTRACT Behavior finance, revived in1980s, is the advanced field of finance study in the Western countries at the present time. The great significance of this theory is that, it absorbed the achievements of modern psychology study and enables the finance study based on practical supposes but not on strict and unpractical ones that modern finance theory is based on. So behavior finance ushered in a new era in finance domain. Continuous percolation model, come from statistical physics, comply the quantitative analysis of signal transduction impacting on investor decision, from it has been in introduced into the research of information conduction model. Firstly, the origin and the development of behavior finance are reviewed, and the recent studies on behavioral finance and continuous percolation model are introduced. The theoretical basis and model of behavioral finance are systematic interpreted, and used to explain the abnormal phenomenon appearing in the actual market. At the same time, stock market information theory on the basis of behavioral finance is introduced. Following the introduc