本文選題：社會網(wǎng)絡(luò)　切入點(diǎn)：信息交流　出處：《上海金融》2017年07期

【摘要】：社會網(wǎng)絡(luò)從微觀層面刻畫了交易者的信息交流,對資產(chǎn)價(jià)格的研究具有重要意義�？紤]到交易者交流的不確定性,本文基于金融市場中交易者的社會網(wǎng)絡(luò)構(gòu)建隨機(jī)信息交流網(wǎng)絡(luò),并探究隨機(jī)信息交流對資產(chǎn)價(jià)格及波動的影響。應(yīng)用帶噪音的理性預(yù)期均衡模型,本文推導(dǎo)出資產(chǎn)價(jià)格是信息共享度的函數(shù)。理論分析發(fā)現(xiàn)隨機(jī)信息交流是影響資產(chǎn)價(jià)格波動的重要因素,數(shù)值模擬結(jié)果進(jìn)一步驗(yàn)證了這一結(jié)論。
[Abstract]:Social network depicts the information exchange of traders from the micro level, which is of great significance to the study of asset prices. Based on the social network of traders in financial markets, this paper constructs a stochastic information exchange network, and explores the impact of random information exchange on asset prices and volatility. This paper deduces that asset price is a function of the degree of information sharing, and finds that random information exchange is an important factor affecting the fluctuation of asset price. The numerical simulation results further verify this conclusion.
【作者單位】： 南開大學(xué)金融學(xué)院;中南財(cái)經(jīng)政法大學(xué)統(tǒng)計(jì)與數(shù)學(xué)學(xué)院;
【基金】：國家自然科學(xué)基金項(xiàng)目“一般跳分布下的跳擴(kuò)散模型的期權(quán)定價(jià)理論及其應(yīng)用”(71671094)
【分類號】：F832
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本文編號：1700595