摘要
回顾了国家自然科学基金资助项目"金融和生命系统微观动力学及其数值模拟研究"(70371069)的立项和实施过程,介绍该项目在金融动力学方面的研究成果,特别关注中西方金融市场的对比研究,重点论述杠杆效应与反杠杆效应、个体股票价格的交叉关联、股票价格大波动与金融危机,以及微观多体模型的构建和数值模拟。
We review the project ＂microscopic dynamics of financial and biological systems and its numerical simulation＂ supported by National Natural Science Foundation of China under Grant No. 70371069,and report our results on the financial dynamics ,especially the leverage and anti-leverage effects, cross-correlations between individual stocks,dynamic relaxation of large volatilities,and microscopic multi-agent models. In this paper, we emphasize the comparative study of the western and Chinese stock markets.
出处
《管理学报》
CSSCI
2009年第12期1608-1613,共6页
Chinese Journal of Management
基金
国家自然科学基金资助项目(70371069)
浙江省自然科学基金资助项目(Z6090130)
关键词
金融动力学
复杂系统
统计物理
交叉学科
econophysics
complex systems
statistical physics
interdiscipline
