基于沙堆模型对中国股市的研究

RESEARCH OF STOCK MARKETS IN CHINA BASED ON SANDPILE MODEL

姬昊辰

11849377

硕士

金融

刘鲁川

2020-05-28

2020-06-30

哈尔滨工业大学

深圳

随着中国经济的不断发展，股票市场也在不断的扩大，股市的趋势和波动对经济有着巨大的影响作用。自中国股市成立以来，就有许多专家学者对中国股市的有效性进行研究，近些年来，大量的文献表明中国股票市场已经达到弱式有效市场，表明中国股票市场已经属于有效市场假说的范畴。然而，还有一些文献的研究发现，市场上出现许多与有效市场假说相悖的异常现象，比如羊群效应和日历效应等，这些现象的发生表明股票市场的结构并非是有效市场所假设的情形。因此，本文试图通过分形市场假说的理论来探索中国股票市场的分形结构，以及通过分形理论中的自组织临界理论和沙堆模型来对中国股票市场进行实证分析。本文第一章对国内外相关研究文献进行总结与分析。第二章从分形市场假说入手，对比分形市场假说与有效市场假说的不同之处，对分形市场假说进行概述与讨论。第三章使用R/S分析法对中国股票市场的分形特征进行实证研究，探索是否中国股票市场处于分形市场的状态。第四章对分形理论和动力学理论中著名的自组织临界性理论进行介绍与讨论，由于自组织临界性理论是揭示沙堆模型的基础，因此对自组织临界性理论的研究有助于更好的理解沙堆模型。第五章通过使用沙堆模型对中国股票的内在动力学机制进行研究和探索，使用中国沪深股市近20年数据进行实证研究，探索中国股市的内在动力学机制以及中国股票市场存在的分形结构。通过对中国股票市场的分形结构以及股市的动力学机制进行实证研究后表明：中国股票市场并非达到有效市场，而是处于一种分形市场的结构。中国股票市场具有长程相关性，沪深股市均具有150天左右的正向的长记忆性。中国股票市场满足沙堆模型的相关特征，是一个开放的耗散系统，会自组织的朝向自组织临界状态发展，在自组织临界状态时，任何一个扰动将导致股价的距离波动。中国股票市场在空间和时间上均呈现出标度不变性，其中，上海股票市场在出现大规模下跌的概率要高于大规模上涨的概率，在下跌时的持续时间会高于上涨时的持续时间；深圳股票市场在出现大规模下跌的概率要高于大规模上涨的概率，在下跌时的持续时间低于上涨时的持续时间。在外界环境相对稳定的状态下，中国股票市场价格的波动主要由其系统内部各因素所决定。本文的研究对中国股票市场的分形结构进行了探索，研究结果更加符合现实市场的情况，为进一步对中国股市内在的机制的探索以及对中国股市股价波动的研究有着借鉴作用。

With the continuous development of China's economy, the stock market is also expanding. Stock market trends and fluctuations have a huge impact on the economy. Since the establishment of Chinese stock market, many experts and scholars have studied the effectiveness of Chinese stock market. In recent years, a large number of literatures show that China's stock market has reached a weak efficient market. This also shows that the Chinese stock market has already belonged to the category of the efficient market hypothesis. However, other literature studies have found many anomalies in the market that contradict the efficient market hypothesis, such as herd behavior and calendar effect. The occurrence of these phenomena shows that the structure of the stock market is not the case assumed by the efficient market. Therefore, this paper attempts to explore the fractal structure of China's stock market through the theory of fractal market hypothesis, and to make an empirical analysis of China's stock market through the theory of self-organizing criticality and sand heap model in fractal theory.The first chapter, the paper summarizes and analyzes relevant research literature at home and abroad. The second chapter, the paper starts with the fractal market hypothesis, summarizes and discusses the differences between the fractal market hypothesis and the efficient market hypothesis. The third chapter, the R/S analysis method is used to make an empirical study on the fractal characteristics of Chinese stock market, and to explore whether Chinese stock market is in the state of fractal market. The fourth chapter, this paper introduces and discusses the famous theory of self-organizing criticality in fractal theory and dynamics theory. The theory of self-organizing criticality is the foundation to reveal the sand heap model, so the study of the theory of self-organizing criticality is helpful to better understand the sand heap model. The fifth chapter, By using the sandpile model to study and explore the internal dynamics mechanism of Chinese stocks, and using the data of the Shanghai and ShenZhen stock markets in recent 20 years for empirical research, the internal dynamics mechanism of Chinese stock market and the fractal structure of Chinese stock market are explored.The empirical study on the fractal structure and dynamics mechanism of Chinese stock market shows that: China's stock market is not an efficient market, but a fractal market structure. China's stock market has a long-term correlation, and both the ShangHai and ShenZhen stock markets have a positive long-term memory of about 150 days. The Chinese stock market satisfies the relevant characteristics of the sandpile model and it is an open dissipative system, which will develop towards the self-organized critical state. In the self-organized critical state, any disturbance will lead to the fluctuation of stock price distance. China's stock market presents scale invariance in space and time. The probability of large-scale decline in ShangHai stock market is higher than that of large-scale rise, and the duration of decline is higher than that of rise. ShenZhen stock market in the occurrence of a large decline in the probability is higher than the probability of a large rise in the fall of the duration of time is lower than the duration of the rise. In a relatively stable external environment, the fluctuation of the stock market price in China is mainly determined by various factors within the system.This paper explores the fractal structure of China's stock market, and the research results are more in line with the situation of the real market, so as to further explore the internal mechanism of China's stock market and study the stock price volatility of China's stock market.

中国股市 分形市场 自组织临界 R/S分析 沙堆模型

China stock markets fractal market self-organized criticality R/S analysis sandpile model

中文

联合培养

南方科技大学

姬昊辰. 基于沙堆模型对中国股市的研究[D]. 深圳. 哈尔滨工业大学,2020.