| 证券投资者群体行为的系统描述 |
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| 引用本文： | 刘海龙,郑立辉,吴冲锋. 证券投资者群体行为的系统描述[J]. 上海交通大学学报, 2004, 38(3): 347-350 |
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| 作者姓名： | 刘海龙 郑立辉 吴冲锋 |
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| 作者单位： | 1. 上海交通大学,安泰管理学院,上海,200052
2. 国联安基金管理有限公司,上海,200121 |
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| 基金项目： | 国家自然科学基金资助项目(70173031)，上海市社科基金资助项目(2003BJL007) |
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| 摘 要： | 利用分布参数系统模型研究了证券市场中投资者的群体行为．引入了投资者关于其自身因素的分布函数，把投资者行为定义为n维因素空间中的轨线，建立了投资者群体行为分布函数满足的偏微分方程，描述了投资者群体行为的变化规律，并证明了该方程的重要性质．在一定假设条件下，建立了不同资金禀赋的投资者行为分布函数满足的偏微分方程，并给出了解析解．
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| 关 键 词： | 证券市场 投资者群体行为 风险偏好 资金禀赋 |
| 文章编号： | 1006-2467(2004)03-0347-04 |
| 修稿时间： | 2002-10-18 |
A System Approach to the Modeling of Investors'''' Collective Behavior |
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| LIU Hai-long,ZHENG Li-hui,WU Chong-feng. A System Approach to the Modeling of Investors'''' Collective Behavior[J]. Journal of Shanghai Jiaotong University, 2004, 38(3): 347-350 |
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| Authors: | LIU Hai-long ZHENG Li-hui WU Chong-feng |
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| Affiliation: | LIU Hai-long~1,ZHENG Li-hui~2,WU Chong-feng~1 |
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| Abstract: | This paper presented a distributed parameter system model to describe investors' collective behavior in securities market. First, a distribution function of investors over their attributes is introduced, with which the investors' behavior is defined as tracks in an n -dimensional factor space. Then a partial differential equation (PDE) is derived to describe investors' collective behavior, and important characters for the PDE are given and proved. Finally, a specific PDE governing the distribution function of investors with different wealth endowment is presented under proper assumptions and a close-form solution is obtained. |
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| Keywords: | securities market investors' collective behavior risk preference wealth endowment |
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