金融动力学的时空关联与大波动特性——兼谈中西方金融市场的对比研究

Spatio-temporal correlations and large volatilities in financial dynamics

文章扼要地评述了金融物理学研究进展,介绍了文章作者在金融动力学时空关联方面的最新研究成果,特别关注中西方金融市场的对比研究.唯象理论研究表明,西方金融市场的价格收益率和波动率的时间关联显示杠杆效应,而中国金融市场则显示反杠杆效应;一种价格收益率和波动率的反馈相互作用可以解释杠杆和反杠杆效应的起源.西方金融市场的个体股票价格的交叉关联呈现标准的行业板块结构,而中国金融市场展示的是一种特殊的板块结构,如"ST板块"和"蓝筹板块"等.股票价格大波动可分为动力学内部产生的和外部事件诱导的两大类.金融动力学的时间反演不对称性,主要来源于外部事件诱导的大波动.

We briefly review progress in econophysics, and report our recent results on spatio-temporal correlations and large volatilities in financial dynamics, with special emphasis on comparative studies of the western and Chinese stock markets. Our phenomenological analysis reveals that the return-volatility correlation of western markets shows the leverage effect, while that of the Chinese market exhibits anti-leverage effects; a feedback interaction between returns and volatilities may explain the origin of the leverage and anti-leverage effects. The cross-correlations between individual stocks in western markets display the structure of standard business sectors, while those of the Chinese market show unusual structures like the ST and blue-chip sectors. Large volatilities in financial dynamics may be classified into ＂exogenous＂ and ＂endogenous＂ events. The breakdown of time-reversal symmetry in financial dynamics is mainly attributed to ＂exogenous＂events.