本文關(guān)鍵詞：復(fù)雜網(wǎng)絡(luò)上的信息甄別、擴(kuò)散與資產(chǎn)定價(jià)　出處：《天津大學(xué)》2013年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 計(jì)算實(shí)驗(yàn)金融 復(fù)雜網(wǎng)絡(luò)結(jié)構(gòu) 個(gè)體交互 信息甄別 資產(chǎn)定價(jià)

【摘要】：互聯(lián)網(wǎng)和社會(huì)化媒體的發(fā)展從三個(gè)方面顯著地改變了金融市場中個(gè)體的信息交互模式：1.產(chǎn)生了大量且影響廣泛的“個(gè)體信息源”，個(gè)體決策行為面對著了從未有過的大量的信息渠道；2.市場信息表現(xiàn)出異質(zhì)性和即時(shí)交互性，在信息傳播速度得到提升的同時(shí)，也帶來了虛假信息和市場信息操縱等問題，個(gè)體決策必須更多的考慮對信息真實(shí)性的甄別；3.個(gè)體擁有了大范圍信息搜索能力，，在決策過程中可以隨時(shí)改變獲取信息來源，從而使金融市場信息交互網(wǎng)絡(luò)結(jié)構(gòu)呈現(xiàn)出動(dòng)態(tài)演化的復(fù)雜特性。這些改變對個(gè)體利用信息做出投資決策的過程產(chǎn)生了重要影響，也更進(jìn)一步地影響了資產(chǎn)價(jià)格的形成。 面對由科技進(jìn)步帶來的信息擴(kuò)散渠道和個(gè)體對信息處理方式的轉(zhuǎn)變，現(xiàn)有的研究均只從某一個(gè)側(cè)面反映了市場信息擴(kuò)散過程的改變。本文利用計(jì)算實(shí)驗(yàn)建模的優(yōu)勢，自底向上地對個(gè)體信息甄別行為建模，并在個(gè)體信息交互層面加入復(fù)雜網(wǎng)絡(luò)作為信息的擴(kuò)散渠道。分別建立了具有固定信息擴(kuò)散網(wǎng)絡(luò)結(jié)構(gòu)的人工股票市場和具有動(dòng)態(tài)演化信息擴(kuò)散網(wǎng)絡(luò)結(jié)構(gòu)的人工股票市場，研究異質(zhì)信息源、動(dòng)態(tài)信息擴(kuò)散網(wǎng)絡(luò)結(jié)構(gòu)等多種要素對個(gè)體信息甄別能力和資產(chǎn)價(jià)格的影響。 本文通過引入異質(zhì)信息源和復(fù)雜網(wǎng)絡(luò)結(jié)構(gòu)，得到了與傳統(tǒng)信息甄別模型不一致的結(jié)論。本文發(fā)現(xiàn)信息擴(kuò)散網(wǎng)絡(luò)結(jié)構(gòu)和異質(zhì)信息源可以影響非知情者的信息甄別能力和資產(chǎn)價(jià)格，在某些異質(zhì)信息源和特定網(wǎng)絡(luò)擴(kuò)散結(jié)構(gòu)條件下，非知情者的信息甄別能力將得到很大的提高。此外，本文進(jìn)一步研究發(fā)現(xiàn)，異質(zhì)信息源對非知情者甄別信息能力的提升具有“閥值效應(yīng)”，只有保證市場中信息有足夠的異質(zhì)性，非知情者才能以較高概率準(zhǔn)確甄別信息。本文還檢測了信息精度、傳播時(shí)間、信息搜索范圍和信息源鑒別成本等因素對個(gè)體信息甄別能力及資產(chǎn)價(jià)格的影響，這些發(fā)現(xiàn)都為防范金融市場虛假信息擴(kuò)散及市場信息操縱提供了必要的理論基礎(chǔ)和政策建議。
[Abstract]:The development of Internet and social media has significantly changed the information interaction mode of individuals in the financial market in three aspects: 1. It has produced a large number of "individual information sources" with wide influence. Individual decision-making behavior is faced with a large number of information channels that have never existed before; 2. Market information shows heterogeneity and instant interactivity, which brings problems such as false information and market information manipulation while the speed of information dissemination is improved. The individual decision must consider more to the information truthfulness screening; 3. Individuals have the ability to search for information on a large scale, and they can change the sources of information at any time in the decision-making process. Thus, the information interaction network structure of financial market presents the complex characteristics of dynamic evolution, and these changes have an important impact on the process of making investment decisions by individuals using information. It also further affects the formation of asset prices. In the face of the information diffusion channels brought by the progress of science and technology and the individual transformation of the information processing mode. The existing research only reflects the change of market information diffusion process from one aspect. This paper makes use of the advantage of computational experimental modeling to model individual information discrimination behavior from bottom up. The artificial stock market with fixed information diffusion network structure and the artificial stock market with dynamic evolution information diffusion network structure are established respectively. The market. The effects of heterogeneous information sources, dynamic information diffusion network structure and other factors on individual information discrimination ability and asset price are studied. In this paper, heterogeneous information sources and complex network structures are introduced. It is found that the information diffusion network structure and heterogeneous information sources can affect the ability of information screening and asset prices. Under the condition of some heterogeneous information sources and specific network diffusion structure, the ability of information discrimination of non-insiders will be greatly improved. In addition, this paper further studies and finds out. Heterogeneous information sources have a "threshold effect" on the improvement of the ability of uninformed persons to identify information, only to ensure sufficient heterogeneity of information in the market. The information accuracy, propagation time, information search scope and information source identification cost are also examined to determine the impact of the factors on the ability of individual information screening and asset price. These findings provide necessary theoretical basis and policy suggestions for preventing the spread of false information and manipulation of market information in financial markets.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.91;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 馬進(jìn)勝;楊敏;邱菀華;;基于主體的非均衡人工股市計(jì)算模型[J];北京化工大學(xué)學(xué)報(bào)(自然科學(xué)版);2008年02期

2 劉維妮;韓立巖;;基于人工股市模型的投資者仿真研究[J];管理學(xué)報(bào);2007年04期

3 黃瑋強(qiáng);莊新田;姚爽;;基于信息傳播和羊群行為的股票市場微觀模擬研究[J];管理學(xué)報(bào);2010年02期

4 張維;張永杰;;異質(zhì)信念、賣空限制與風(fēng)險(xiǎn)資產(chǎn)價(jià)格[J];管理科學(xué)學(xué)報(bào);2006年04期

5 張永杰;張維;熊熊;;投資策略與投資收益:基于計(jì)算實(shí)驗(yàn)金融的研究[J];管理科學(xué)學(xué)報(bào);2010年09期

6 陳瑩;袁建輝;李心丹;肖斌卿;;基于計(jì)算實(shí)驗(yàn)的協(xié)同羊群行為與市場波動(dòng)研究[J];管理科學(xué)學(xué)報(bào);2010年09期

7 郭杰;洪潔瑛;;中國證券分析師的盈余預(yù)測行為有效性研究[J];經(jīng)濟(jì)研究;2009年11期

8 張維;李根;熊熊;韋立堅(jiān);王雪瑩;;資產(chǎn)價(jià)格泡沫研究綜述:基于行為金融和計(jì)算實(shí)驗(yàn)方法的視角[J];金融研究;2009年08期

9 李紅權(quán);鄒琳;;基于Agent的投資者情緒對于股市演化行為仿真研究[J];計(jì)算機(jī)工程與應(yīng)用;2009年12期

10 鄒琳;馬超群;李紅權(quán);;中國股市仿真系統(tǒng)建模及其非線性特征研究[J];系統(tǒng)管理學(xué)報(bào);2008年04期

本文編號(hào)：1360455