证券投资中的复杂性分析与无意羊群行为

37120071()JournalofZhejiangUniversity(HumanitiesandSocialSciences)Vol.37,No.1Jan.2007[]20060922[][](GB04BJY038)[]1.(1963),,,,;2.(1961),,,,,;3.(1976),,,1,2,[]3(11,200433;21,312000;31,H3H1H1)[],,,,,,,,(),[];;[]F830.91[]A[]1008-942X(2007)01-0190-10TheStudyofComplexityAnalysisandInvoluntaryHerdBehaviorinSecuritiesMarketInvestmentSUNBai2can1,ZHANGRong2,LUOYan3(1.DepartmentofEconomics,FudanUniversity,Shanghai200433,China;2.DepartmentofEconomics,ShaoxingCollegeofArtsandSciences,Shaoxing312000,China;3.DepartmentofAccounting,ConcordiaUniversity,MontrealH3H1H1,Canada)Abstract:Accordingtothetraditionalfinancetheory,itisbelievedthatinvestorsmakearationalandindependentdecisionininvestment,whichcausesrandomwalkingofthepriceonthesecuritiesmarket.Inouropinion,thereisaflawinthisassumption,foritisverydifficulttoreachsucharationalandindependentdecisiononinvestmentinreality.Inthepresentageofinformation,investorsnotonlymutuallyinfluenceeachotherinmakinginvestmentdecisions,butalsospontaneouslyformdifferentcoloniestomakedecisions.Underthepressureofnewsmediaandsecurityanalysts,theinvestorswouldgiveuptheiroriginalopinion,changetheinitialaltitude,andtakecolonialunanimousactions:purchase,sale,ornotransaction.Suchcolonialbehaviorofinvestorsistheinvoluntaryherdbehavior,apsychologicalmodeofinvestors.Thebehaviorcanbringontheacutefluctuationonthepriceofventureassetandthestabilizationofthestockmarket.Thisarticleexpandstheresearchonthecorrelationbetweentheprice©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.’behavior.Inthisarticle,byapplyingthepercolationtheoryinphysicstotheresearchoftheinvestors’mutualstudy2mimicbehavior,wefindthatsuchmutuallymimicbehaviorofinvestorsistheintrinsiccauseoftheacutefluctuationinthemarket’ssupply&demandandtheacuterise&dropinsecurityprice.Also,byapplyingtheself2organizetheorytotheresearchofpricemutation,thefractaltimeseriestheoryandthechaostheoryinthestockmarket,wereachthefollowingconclusions:(a)Insecuritiesmarket,therelationshipbetweenpriceandincreaseindemandisnonlinear,whenthevariable’ssequentialchangereachesavalue,thewholesystemwillshowmutationinmacrobehavior,leadingthesecuritiesmarkettoslumporcollapse.(b)Thepricetrendinthefractaltimeseriesshowsthecharacteristicsoflong2termmemoryprogress:dualcharacteristicsofcycleandtrend.(c)Thesecuritymarketsarenonlinearfluctuatingsystemwiththechaoscharacteristics2certainty,linear,extremelysensitivetotheinitialconditionandaperiodic.Thisarticlealsostudiesthecauseofformingcolonies,differenceamongcolonies,andevolvementofcolonies,andanalyzesinvoluntaryherdbehavior.Thearticleisofsomeacademicvalueandpracticalsignificance,asitappliesmethodology,whichdiffersfromtraditionalfinancialtheory,totheresearchoftherelationshipbetweenpricefluctuationandcolonialinvestmentbehaviorinsecuritiesmarket.Keywords:percolation;self2organize;involuntaryherdbehavior,(),,,,,,BikhchandaniSharma(PseudoHerding)[1],,,,,,,,,,,,()(percolation),,()(econophysics):,,(fattail),1911,,[]:©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(volatility),(statisticalphysics),:(1),(AB),(2),,,(3),()(),(4),,,,,,:(1)(bondpercolation);(2)(sitepercolation);(3)(mixedpercolation);(4)(anisotropicmodels);(5)(long2rangemodels);(6)(dependentpercolation)Grimmett(Percolation),,(bondpercolation),(),,,:,,,,,,,(),ContBouchaud[2],,HuangZhi2feng[3]EguiluzZimmermann:[4],[5]Cont2Bouchaud,(),(),:,,a,,(1-2a)a:a1,;a0.5,,,:(,)291()37©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),Cont2Bouchaud()(),,p,(1-p)(Cont2Bouchaud),(),,,ContBouchaudn+,n-,:p,sn+-,sn-,,:a.ppc,;b.ppc,,,;c.p=pc,dL,p,:n,s,p(R)R-,1sLD,,ns,R,D=d/(-1),aLevy,a0.5,,:,:(),(),()(),()c,:(1),;(2),c,;(3)(),,,,c()(criticalpoint),()(,percolationthreshold),,,1,p;,2,1-p12,2/10,,,1,p,,,,p,p,,p,(),,,,3911,,[]:ContBouchaudPC©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(self2organize)2070,,;2080,,,,,,:()(Thom)2060,:[6],,,,:,,19871999,1,:(aa)(bb)(cc’)2,,,,,,,,,,(),,,,491()37©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.()1975,(Mandelbrot)(fractal),,,,,,,,,,,(Hurst)Hurst,R/S(RescaledRangeAnalysis)R/S,N,a,H,,:R/S=(aN)H,.:log(R/S)=H(logN+loga),R/SNlog/log,H(Peters),[7],:,,23,:,,EMH,,,(Turner)(Weigel),T1/2,,,,-(Pareto2levy),,,,S&P500R/S,H=0.39,(),,,,:,,,:(1)();(2)();(3)();(4),()5911,,[]:©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:(1),Pt,P0,E1=c1(Pt-P0)3(2),0a1,ut=aPt-1+a(1-a)Pt-2+a(1-a)2Pt-3+E2=c2(Pt-ut)E=E1+E2=c1(P0-Pt)3+c2(Pt-ut)Pt-1-Pt,cE,:ut-1=aPt+(1-a)u1Pt-1-Pt=cE=cc1(P0-Pt)3+cc2(Pt-ut),,,,,,,?,:(1):,,/;(2):,;(3):,,,,,,,,,,(,),,,()()(),,:,,,,,,ContBouchaud,,,,,,,,,,,,,(),,,,691()37©1994-2008ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(,),,,,,,,(),