| 学习演化、风险预警与中小投资者H-LSV行为模型 |
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| 引用本文： | 王冀宁,陈庭强. 学习演化、风险预警与中小投资者H-LSV行为模型[J]. 系统工程理论与实践, 2011, 31(4): 721-728. DOI: 10.12011/1000-6788(2011)4-721 |
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| 作者姓名： | 王冀宁 陈庭强 |
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| 作者单位： | 1. 南京工业大学 经济与管理学院, 南京 210009;2. 东南大学 经济管理学院, 南京 210096 |
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| 基金项目： | 教育部规划基金，科技部专项课题，江苏省社会科学基金，南京工业大学培育基金 |
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| 摘 要： | 本文综合利用Hurst指数和LSV模型,构建了证券市场上投资者羊群行为的H-LSV模型,提出了新的羊群行为模型测度方法,对证券市场上中小投资者羊群行为的非线性特征及区间长度内偏离程度进行了刻画,并基于上证综合指数给出了实证分析或动态模拟的思路和方 法.根据中小投资者学习演化特征构架了以H-LSV模型为主要监测工具的风险监控与预警系统,最后从制度建设的角度提出相关对策建议.
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| 关 键 词： | 羊群行为 H-LSV模型 学习演化 风险预警 |
| 收稿时间： | 2010-09-30 |
Learning evolution, risk early warning and small and medium-sized securities investors H-LSV behavior model |
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| WANG Ji-ning,CHEN Ting-qiang. Learning evolution, risk early warning and small and medium-sized securities investors H-LSV behavior model[J]. Systems Engineering —Theory & Practice, 2011, 31(4): 721-728. DOI: 10.12011/1000-6788(2011)4-721 |
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| Authors: | WANG Ji-ning CHEN Ting-qiang |
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| Affiliation: | 1. School of Economics and Management, Nanjing University of Technology, Nanjing 210009, China;2. School of Economics and Management, Southeast University, Nanjing 210096, China |
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| Abstract: | This article through the literature review,comprehensively use the Hurst index and LSV model, and constructed the H - LSV model on the stock market investors herding behavior,proposed new measure method to the herding behavior model,and characterized the nonlinear characteristics and its deviation degree in interval length of the Small and medium-sized securities investors,and gave the empirical analysis or the ideas and methods of dynamic simulation based on the Shanghai composite index.Finally,builded sma... |
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| Keywords: | herding behavior H-LSV model learning evolution risk early-warning |
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