本文選題：非線性動(dòng)力學(xué) + 金融危機(jī)傳染�。� 參考：《哈爾濱工業(yè)大學(xué)》2014年碩士論文

【摘要】：20世紀(jì)90年代以來(lái)，頻繁爆發(fā)的金融危機(jī)引起研究人員的廣泛關(guān)注。這些危機(jī)都是在一個(gè)國(guó)家首先爆發(fā)，進(jìn)而通過(guò)貿(mào)易、金融和預(yù)期等渠道傳染到其他國(guó)家，對(duì)被傳染國(guó)家和地區(qū)的金融市場(chǎng)和實(shí)體經(jīng)濟(jì)都造成了不可逆轉(zhuǎn)的危害。歷次金融危機(jī)的傳染表現(xiàn)出強(qiáng)烈的系統(tǒng)性、復(fù)雜性和非線性特征，而傳統(tǒng)的金融危機(jī)傳染理論無(wú)法正確剖析金融危機(jī)傳染期間的非線性特征。因此，本文嘗試通過(guò)非線性動(dòng)力學(xué)系統(tǒng)理論對(duì)金融危機(jī)傳染進(jìn)行研究，以此來(lái)刻畫金融危機(jī)傳染的非線性機(jī)制，以期在經(jīng)濟(jì)一體化、金融自由化的背景下，為我國(guó)的金融危機(jī)預(yù)警體系的建立提供合理化建議，維持金融體系的穩(wěn)定。 首先，本文從金融危機(jī)傳染的理論、實(shí)證研究和非線性動(dòng)力學(xué)在金融方面的應(yīng)用兩個(gè)方面綜述該領(lǐng)域的國(guó)內(nèi)外研究現(xiàn)狀，然后介紹了基于非線性動(dòng)力學(xué)時(shí)間序列預(yù)測(cè)的基礎(chǔ)理論。在此基礎(chǔ)上，，文本建立了基于非線性動(dòng)力學(xué)的金融危機(jī)傳染模型。將最大Lyapunov指數(shù)和非線性相互預(yù)測(cè)測(cè)度引入Bai和Perron的內(nèi)生結(jié)構(gòu)突變模型，構(gòu)建了基于最大Lyapunov指數(shù)的傳染源內(nèi)生結(jié)構(gòu)突變模型以及基于非線性相互依賴性的金融危機(jī)傳染內(nèi)生結(jié)構(gòu)突變模型。 然后，本文采用改進(jìn)的基于最大Lyapunov指數(shù)的傳染源內(nèi)生結(jié)構(gòu)突變模型對(duì)2008年金融危機(jī)期間傳染源國(guó)家——美國(guó)的非線性動(dòng)力學(xué)狀態(tài)的變化進(jìn)行實(shí)證分析。在仿真實(shí)驗(yàn)的基礎(chǔ)上運(yùn)用SP500股票指數(shù)數(shù)據(jù)進(jìn)行實(shí)證分析，找到了金融危機(jī)每個(gè)時(shí)期的時(shí)間節(jié)點(diǎn)，對(duì)金融危機(jī)各階段進(jìn)行了劃分與解釋；比較了本文與采用Bai和Perron的內(nèi)生結(jié)構(gòu)模型的實(shí)證結(jié)果；分析了金融危機(jī)各階段的非線性動(dòng)力學(xué)特征的變化。 最后，本文采用改進(jìn)的基于非線性相互依賴性的金融危機(jī)傳染內(nèi)生結(jié)構(gòu)突變模型分析2008年全球金融危機(jī)期間美國(guó)等10國(guó)（或地區(qū)）金融市場(chǎng)之間非線性相互依賴性的變動(dòng)情況。首先采用Bai和Perron的內(nèi)生結(jié)構(gòu)突變模型對(duì)2008年金融危機(jī)數(shù)據(jù)進(jìn)行驗(yàn)證分析。然后分別采用原始的非線性相互預(yù)測(cè)測(cè)度和基于非線性相互依賴性的金融危機(jī)傳染內(nèi)生結(jié)構(gòu)突變模型對(duì)美國(guó)向其他9個(gè)被傳染國(guó)家傳染的方向、時(shí)間和強(qiáng)度進(jìn)行分析。并在此基礎(chǔ)上嘗試為我國(guó)對(duì)金融市場(chǎng)危機(jī)的應(yīng)對(duì)提供適用的工具及預(yù)警指標(biāo)。
[Abstract]:Since the 1990 s, frequent financial crises have aroused the attention of researchers. These crises are the first to break out in one country, and then spread to other countries through trade, finance and expectation channels, causing irreversible harm to the financial markets and real economy of the infected countries and regions. The contagion of previous financial crises shows strong systematic, complex and nonlinear characteristics, but the traditional theory of financial crisis contagion can not correctly analyze the nonlinear characteristics of financial crisis contagion. Therefore, this paper attempts to study the contagion of financial crisis through the theory of nonlinear dynamics system, in order to describe the nonlinear mechanism of contagion of financial crisis, in the context of economic integration and financial liberalization. To provide reasonable suggestions for the establishment of financial crisis warning system and to maintain the stability of financial system. First of all, this paper summarizes the domestic and foreign research status of financial crisis contagion theory, empirical research and the application of nonlinear dynamics in finance. Then the basic theory of time series prediction based on nonlinear dynamics is introduced. On this basis, the text establishes the financial crisis contagion model based on nonlinear dynamics. The maximum Lyapunov exponent and nonlinear mutual predictive measure are introduced into the endogenous structural catastrophe model of Bai and Perron. An endogenous structural mutation model based on the maximum Lyapunov index and a nonlinear interdependency model for the endogenous structural mutation of the source of infection were constructed. Then, an improved model based on the largest Lyapunov exponent is used to analyze the change of nonlinear dynamics in the United States, the source country during the financial crisis in 2008. On the basis of the simulation experiment, the paper uses the SP500 stock index data to carry on the empirical analysis, has found the financial crisis each time node, has carried on the division and the explanation to the financial crisis each stage; The empirical results of this paper are compared with the endogenous structural models using Bai and Perron, and the changes of nonlinear dynamics characteristics in various stages of the financial crisis are analyzed. Finally, an improved financial crisis contagion endogenous structural catastrophe model based on nonlinear interdependence is used to analyze the nonlinear interdependence between the financial markets of the United States and other 10 countries (or regions) during the global financial crisis in 2008. Firstly, Bai and Perron's endogenous structural catastrophe model are used to verify and analyze the 2008 financial crisis data. Then we analyze the direction, time and intensity of the contagion from the United States to the other nine countries by using the original nonlinear mutual prediction measure and the endogenous structural catastrophe model of financial crisis contagion based on nonlinear interdependence. On this basis, it tries to provide applicable tools and early warning indicators for China's response to financial market crisis.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F830.9

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