基于网络混合学习策略的股市投资者行为演化模型及仿真

doi:10.12005/orms.2019.0262

运筹与管理 ›› 2019, Vol. 28 ›› Issue (11): 156-168.DOI: 10.12005/orms.2019.0262

基于网络混合学习策略的股市投资者行为演化模型及仿真

卞曰瑭¹, 刘夏群², 李金生¹

1.南京师范大学商学院,江苏南京 210023;
2.东南大学经济管理学院,江苏南京 211189

收稿日期:2017-07-03 出版日期:2019-11-25
作者简介:卞曰瑭(1983-),男,博士,江苏盐城,副教授,硕士生导师,研究方向:金融复杂性、风险与不确定性管理、创新管理;刘夏群(1993-),女,安徽安庆,博士研究生,研究方向:金融复杂性、风险与不确定性;李金生(1974-),男,博士,江苏盐城,教授,硕士生导师,研究方向:创新管理。
基金资助:
国家社科基金资助项目(19BJY255);教育部人文社科青年基金资助项目(17YJC790002);江苏省社会科学基金重点资助项目(18EYA002);2018年江苏省高校中青年骨干教师境外访学资助项目;南京师范大学教改课题资助项目(2019NSDJG0025)

Evolution Model and Simulation of Investors Behavior in Stock Market Based on Hybrid Learning Strategies in Network

BIAN Yue-tang¹, LIU Xia-qun², LI Jin-sheng¹

1. School of Business,Nanjing Normal University,Nanjing 210023, China;
2. School of Economics and Management, Southeast University, Nanjing 211189, China

Received:2017-07-03 Online:2019-11-25

摘要/Abstract

摘要： 针对投资者有限理性决策行为的模仿学习等特质,运用复杂网络、贝叶斯学习和社会学习理论,分别对个人投资者和机构投资者的投资行为决策机制进行系统性分析,由此构建基于网络混合学习策略的投资者行为演化机理和数理模型,并进行数理解析和模拟仿真。研究发现,投资者金融关联网络的拓扑结构对个人投资者行为动态演变具有较强影响,但对机构投资者的影响较弱;个人投资者的学习策略偏好影响其行为动态演变均衡状态的稳定性较为显著;机构投资者获取的私有信息精确度与其行为动态演变的均衡状态之间存在显著的非线性关联;投资者的初始行为状态对其投资行为动态演变均衡状态的影响效应均较弱。

关键词: 贝叶斯学习, 社会学习, 复杂网络, 投资行为, 演化模型

Abstract: Aiming at the characteristics of imitative learning in investors’ bounded rational decision-making behavior, this paper systematically analyzes the decision-making mechanism of individual investors and institutional investors on the theory of complex networks, Bayesian learning and social learning theory. Then, the evolution model of investors’ behavior based on the hybrid learning strategies in network is constructed, and investigated by mean-field analysis and simulations on the evolution characteristics of investors’ behavior. The conclusions are drawn as follows: First, the heterogeneity and connectivity of network have a greater influence on the evolution of the individual investors’ behavior than that of the institutional investors. Second, the learning strategy preference of individual investors places a significant effect on the stability of the equilibrium states of individual investors’ behavior. Third, the equilibrium state of institutional investors’ behavior is in nonlinear co-relation with the accuracy of the institutional investors’ private information. Last but not the least, as to all institutional investors and individual investors, the initial state of the investors’ behavior has a small influence on the equilibrium of their evolution.

Key words: bayesian learning, social learning, complex networks, investment behavior, evolution model

中图分类号:

F830
C931

卞曰瑭, 刘夏群, 李金生. 基于网络混合学习策略的股市投资者行为演化模型及仿真[J]. 运筹与管理, 2019, 28(11): 156-168.

BIAN Yue-tang, LIU Xia-qun, LI Jin-sheng. Evolution Model and Simulation of Investors Behavior in Stock Market Based on Hybrid Learning Strategies in Network[J]. Operations Research and Management Science, 2019, 28(11): 156-168.

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基于网络混合学习策略的股市投资者行为演化模型及仿真

Evolution Model and Simulation of Investors Behavior in Stock Market Based on Hybrid Learning Strategies in Network

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