金融市场的宏观建模和微观建模_从金融海啸与市场风险谈起.pdfVIP

* ) ) ) 从金融海啸与市场风险谈起 周炜星­ ( 200237) , , . , , . , , . , , , Macro and microscopic modeling of financial markets ) ) ) sailing from financial tsunami and market risks ZHOU We-i Xing­ (School of Business and Research Centerf or Econophysics, East China University of Science and Technology , Shanghai 200237, China) Abstract inancial markets are complex systems, where crises of large fluctuations w ith high risks take place more than often. How ever, classical economics is unable to handle these situations. rom a complex- ity science perspective, we present a picture of the evolution and burst of financial bubbles for the current financial tsunami based on the macroscopic modeling of financial markets. We further introduce a fram e- w ork of computational experimental finance based on the microscopic modeling of markets. We argue that finance should be rebuilt resorting to a phenomenology fram ework, and econophysics will play a crucial role in this scientific revolution of economics. Keywords econophysics, financial tsunami, complexity science, market modeling Physics, 1 引言 ( heterogeneous agents, a- gent ) [ 2] , 1929 . , . , . , , . [ 3, 4] . 2008 10 30 , . , Bouchaud Nature , , , * ( : 2008SG2