作　　者： ; ; ;

机构地区： 华南理工大学工商管理学院

出　　处： 《管理科学学报》 2017年第1期75-86,共12页

摘　　要： 已有的实证结果表明中国金融市场这一复杂系统在发展过程中表现出相关性、非线性和适应性.本文以货币、证券及外汇三个主要子市场及构成的整体金融市场为对象,探究其在结构、作用和功能方面的演化机理与管理问题.具体提出了金融市场复杂性特征与演化机理间的表征关系,对各演化机理建立了模型框架,并依此应用分析股票市场中的泡沫现象.其中,针对相关性提出三体"束缚"模型,以描述各子市场间的复杂关系;针对非线性提出基于朗之万方程的动力学模型,以划分内生演进及外生随机两类非线性作用;针对适应性提出动态反馈模式,以反映不同非线性作用下金融市场演化的路径及动态适应的能力.进而结合宏观市场的时空演变结构,从金融系统的环境、组成、关联、演化、稳定、风险各方面构建起应对复杂性的宏观管理框架. Correlations,nonlinearity and adaptability have been presented by empirical studies during the development process of China＇s financial markets. This paper mainly investigates a complex system consisting of the money market,the securities market and the foreign exchange market. It aims at characterizing the evolution mechanisms regarding the structure,action and function of the system and thus managing the complexity.This paper not only illustrates the relationships between those mechanisms and the systemic characteristics of complexity,but also builds a generic framework of models and applies it to the financial bubbles of stock markets. The three-body ＂bondage＂model capturing the correlations is proposed to describe the complex relationships between the sub-markets. A nonlinear dynamics model based on the Langevin equation divides the nonlinear actions into endogenous and exogenous ones. The feedback model describes the evolutionary paths and the dynamic adaptive ability in the realization of market functions. Combining the resulting spatio-temporal structure of China＇s financial markets,a macro management framework coping with complexity is finally built in terms of the environment,composition,association,evolution,stability,and risk management.

关 键 词： 金融市场 复杂性 演化机理 宏观审慎

领　　域： [经济管理]