股价波动的本质特征是什么？-基于非线性动力学分析视角的研究

What's the Nature of Volatility in Stock Prices?——Based on the Nonlinear Dynamical Analysis Principle

基于金融复杂性研究视角,采用非线性动力学分析方法,分析股市波动的本质特征与形成机制。结果表明股市波动具有显著的分形动力学特征与长期记忆效应;股票市场存在低维混沌,具有内生的不稳定性;股价行为有其内在的非线性动力学形成机制,揭示出金融市场的正反馈机制、投资者的异质性与相互影响是引发市场复杂行为的重要途径;提出了非线性金融理论的研究方向并阐明了对于金融实践的意义。

From the view of financial complexity, this paper aims at discovering mechanism and nature of volatility in stock prices based on the methodology of nonlinear dynamical analysis. Our research indicates that market volatility exhibits fractal characteristic and long--memory effect. Furthermore, our empirical studies show that capital markets possess an underlying low--dimensional Chaotic system and therefore en- dogenous instability. Our research also indicates that the behavior of stock prices has internal mechanism of nonlinear dynamics, and is the result of positive feedbacks and interactions between heterogeneous in- vestors. Finally, it presents further research guide of nonlinear financial theory and gives a new insight in- to investment practice.