摘要
把握股票市场在风险条件下的整体状态变化特征是保障其平稳运行和健康发展的关键.本文运用复杂系统分析方法,研究股票市场风险应对问题.基于股票价格联动关系,建立股票网络,表征股票市场的微观结构关系.结合不同类型和级别风险的发生概率,构建股票网络恢复力度量模型,表征股票网络的宏观状态变化.以上海证券交易所股票市场为例,依据风险事件发生规律和股票价格变化机制,实例仿真剖析事前、事中和事后风险应对策略对股票网络恢复力的影响.结果显示,单个应对策略对不同类型风险的有效性各异.研究有助于把握股票市场运行规律,可为市场风险应对策略构建提供决策支撑.
Grasping the characteristics of stock market performance is the key to maintaining its operation and development. This paper applies approaches in complex system to study the risk response problem of stock market. Based on the price interdependencies among stocks, we build stock network to represent the microstructure of the market. According to occurrence probability of different types and levels of risks, we propose resilience computing model to measure the characteristics of stock network performance macroscopically. Taking Shanghai stock market as an example, grounded on the rules of risk occurrence and stock price change, this study investigates the effects of three risk response strategies on network resilience. The results show that different strategies are appropriate to different types of risk. The research is helpful to grasp the operational mechanism of the stock market, and provides decision supports to the construction of risk response strategy.
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2017年第5期1101-1112,共12页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(71301095)
上海科委科技创新行动项目(15511107302)~~
关键词
股票网络
系统恢复力
风险应对
股票价格关联
stock network
system resilience
risk response
stock price interdependency
作者简介
张超（1982-），男，汉，黑龙江齐齐哈尔人，助理研究员，博士，研究方向：金融风险管理，系统建模与仿真，E—mail：zhangcha02686@163．com；
通信作者：孔静静（1984-），女，汉，河南周口人，讲师，博士，研究方向：风险管理，应急组织管理，E-mail：kongjingjing601@163．com；
吴启迪（1947-），女，汉，浙江省人，教授，博士，研究方向：自动化系统工程，控制理论，E-mail：wuqidi@tongji．edu．cn．
