| 基于风险应对的股票市场恢复力度量与优化 |
| |
| 引用本文： | 张超,孔静静,吴启迪.基于风险应对的股票市场恢复力度量与优化[J].系统工程理论与实践,2017,37(5):1101-1112. |
| |
| 作者姓名： | 张超 孔静静 吴启迪 |
| |
| 作者单位： | 1. 上海财经大学 上海市金融信息技术研究重点实验室, 上海 200433;2. 上海财经大学 现代服务科学与技术研究中心, 上海 200433;3. 上海师范大学 建筑工程学院, 上海 201400;4. 同济大学 电子信息与工程学院, 上海 200092 |
| |
| 基金项目： | 国家自然科学基金（71301095）；上海科委科技创新行动项目（15511107302） |
| |
| 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.
|
| 关 键 词： | 股票网络 系统恢复力 风险应对 股票价格关联 |
| 收稿时间： | 2016-07-18 |
Measurement and optimization of resilience of stock market according to risk response |
| |
| ZHANG Chao,KONG Jingjing,WU Qidi.Measurement and optimization of resilience of stock market according to risk response[J].Systems Engineering —Theory & Practice,2017,37(5):1101-1112. |
| |
| Authors: | ZHANG Chao KONG Jingjing WU Qidi |
| |
| Institution: | 1. Shanghai Key Laboratory of Financial Information Technology, Shanghai University of Finance and Economics, Shanghai 200433, China;2. Modern Service Science Research Center, Shanghai University of Finance and Economics, Shanghai 200433, China;3. School of Civil Engineering, Shanghai Normal University, Shanghai 201400, China;4. School of Electronics and Information Engineering, Tongji University, Shanghai 200092, China |
| |
| Abstract: | 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. |
| |
| Keywords: | stock network system resilience risk response stock price interdependency |
| 本文献已被 CNKI 等数据库收录！ |
| 点击此处可从《系统工程理论与实践》浏览原始摘要信息 |
| 点击此处可从《系统工程理论与实践》下载免费的PDF全文 |
|
