国际金融危机传染机制研究——基于行为经济学视角

A Behavioral Economic Perspective on the Financial Contagion

笔者建立了一个包含四种不同类型交易者的协同演化市场模型,包括噪音交易者(noise trader)、从众型交易者(herd trader)、采取少数者博弈策略的技术类交易者(tech-game trader),以及采用基因编程这种智能化方法的技术类交易者(Tech-GP trader)。当国外金融市场发生危机时,国内市场的某些技术类的交易者会因为一种"压力"机制转变其自身的类型,变成从众型投资者。这些从众型的交易者的决策依据是危机时普遍的市场情绪,而不是其他基本面的因素。笔者通过模拟四种投资者的交易行为发现:危机时从众心理被压力强化,国内从众型交易者越来越多,同时股价受国外市场影响也越来越大,导致外国金融市场的危机逐渐传递到国内。模型仿真得出的结果可以用来评估和预测国际金融市场间相互作用的演化过程,从而未雨绸缪,防止国际金融危机传染发生。

In this paper,a new co-evolutionary market model is discussed involving different types of traders,where some of the technical traders change their behaviour during crisis periods to transform into herd traders and rather make their decisions based on the latest prevailing sentiment in the market than on other factors or underlying strategies.By introducing a stress mechanism in the simulated financial markets,we contribute psychological factors to modelling crisis propagation.After analyzing the inter-related behaviour of trading agents,we observe that herd mentality is intensified by stress,contributing to the explanation of its destructive impact.Finally,we here provide a platform allowing virtual players to participate according to their own rules,and thus contributing to the simulation of artificial multinational markets.The results and analysis of our simulations could be used by analysts to assess and predict the evolution of cross-market linkages,and hence identify financial contagion at an early stage.