本文選題：信息傳播 + 網(wǎng)絡結構　； 參考：《天津財經大學》2012年碩士論文

【摘要】：Web2.0時代的到來,不但改變了日常生活中人類的信息獲取方式,同時也對金融市場的信息傳播產生了深遠的影響。一方面,傳統(tǒng)媒體發(fā)布公告的信息傳播渠道正在被更加公開和迅捷的互聯(lián)網(wǎng)渠道取代,金融市場中信息源的異質性特征更加明顯。另一方面,信息傳播渠道的自由不斷提高,新的市場風險也隨之產生。與Web2.0時代之前的信息傳播環(huán)境相比,更加復雜的信息傳播網(wǎng)絡和更為自由的信息傳播環(huán)境都迫切要求人們進一步準確認識當代金融市場的信息傳播過程及其對價格的影響規(guī)律,并利用這些規(guī)律管理實踐中不斷出現(xiàn)的新的市場風險。 為了更有效的開展研究,本文把“信息傳播”定義為股票市場全部信息的一個特定子集,僅包括個體間交互的消息、新聞、流言等。通過實證分析和理論建模,本文對金融市場中信息傳播及信息網(wǎng)絡對資產價格的影響進行研究。 本文發(fā)現(xiàn)信息的傳播數(shù)量和信息網(wǎng)絡結構對資產價格日內收益率波動有顯著影響。這種信息傳播數(shù)量和網(wǎng)絡結構的影響有可能為股票市場信息操縱鑒定提供一個新的思路。此外信息傳播過程中關鍵節(jié)點的數(shù)量和關鍵節(jié)點的轉發(fā)率對資產價格日內收益率波動有顯著影響,并且存在高度的正相關。 同時本文通過計算實驗建模還發(fā)現(xiàn)信息傳遞網(wǎng)絡結構對個體財富有重要影響。本文對知情交易者和信息搜尋者的信息渠道進行統(tǒng)計后發(fā)現(xiàn),隨著agent的連接個數(shù)增加,知情交易者和信息搜尋者的每期平均財富呈現(xiàn)出了不同的規(guī)律。從信息傳遞結構考慮,傳播信息渠道廣的知情交易者更容易實現(xiàn)對市場的控制,連接的信息搜尋者越多,每期的平均財富越大。而對于喜歡尋找二手信息的信息搜尋者來說,信息源越多,則其每期的平均財富越小。
[Abstract]:The arrival of Web 2.0 not only changes the way of obtaining information in daily life, but also has a profound influence on the information dissemination of financial market. On the one hand, the information dissemination channels published by traditional media are being replaced by more open and rapid Internet channels, and the heterogeneity of information sources in the financial market is more obvious. On the other hand, the freedom of the information dissemination channel improves continuously, the new market risk also produces along with it. Compared with the information dissemination environment before the Web 2.0 era, the more complex information dissemination network and the freer information dissemination environment urgently require people to understand more accurately the information dissemination process of the contemporary financial market and its influence law on the price. And make use of these laws to manage the new market risk that appears constantly in practice. In order to carry out the research more effectively, this paper defines "information dissemination" as a specific subset of all information in the stock market, which includes only the messages, news, gossip and so on. Through empirical analysis and theoretical modeling, this paper studies the influence of information dissemination and information network on asset prices in financial markets. This paper finds that the amount of information propagation and information network structure have a significant impact on the intraday return volatility of asset prices. This kind of information dissemination quantity and the influence of network structure may provide a new idea for stock market information manipulation and identification. In addition, the number of key nodes and the forwarding rate of key nodes in the process of information dissemination have a significant impact on the intraday return volatility of asset prices, and there is a high positive correlation. At the same time, we also find that the network structure of information transmission has an important influence on individual wealth. Based on the statistics of the information channels of informed traders and information searchers, it is found that with the increase of the number of agent connections, the average wealth of informed traders and information searchers presents different rules. Considering the information transmission structure, informed traders with wide information channels are more likely to control the market. The more information searchers connect, the greater the average wealth of each period is. For information searchers who prefer to search for second-hand information, the more information sources, the smaller the average wealth per issue.
【學位授予單位】：天津財經大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F830.9;F224

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