演化背景下证券市场泡沫的形成机理

The Formation Mechanism of Stock Market Bubbles under Evolutionary Background

证券市场是一个复杂系统,而证券市场泡沫正是这个复杂系统演化运动的直接产物。在这样一种演化背景下,本文以演化博弈理论为理论依据,建立信息博弈分析框架,并构建演化博弈复制动态模型。然后,通过对模型的仿真分析,试图解释证券市场作为市场泡沫的形成、发展和破裂的循环演化过程。研究结果表明:适度的噪声交易能够保证市场的流动性;噪声交易者的操纵和跟风行为是造成市场泡沫形成和发展的重要原因,而噪声交易者和理性交易者之间的相互转换,导致了市场泡沫的破裂。

Abstract ： Stock market is a complex system in which stock market bubble ! is the direct product of its evolution. Under such evolutionary background, this paper establishes an analytic framework of information game and a duplicated dynamic model of evolutionary game according to evolutionary game theory, trying to explain the cyclic evolution process of the formation, development and breakup of the stock market as a bubble market through simulation analysis. The results show that： （1） moderate noise trade can ensure market mobility and （2） the manipulation and trend-pursuit behavior of noise traders is the main reason for the formation and development of market bubbles, while the mutual transformation between noise traders and rational traders lead to the breakup of market bubbles.