本文關鍵詞：復雜網(wǎng)絡上的信息甄別、擴散與資產(chǎn)定價　出處：《天津大學》2013年博士論文　論文類型：學位論文

  更多相關文章： 計算實驗金融 復雜網(wǎng)絡結構 個體交互 信息甄別 資產(chǎn)定價

【摘要】：互聯(lián)網(wǎng)和社會化媒體的發(fā)展從三個方面顯著地改變了金融市場中個體的信息交互模式：1.產(chǎn)生了大量且影響廣泛的“個體信息源”，個體決策行為面對著了從未有過的大量的信息渠道；2.市場信息表現(xiàn)出異質性和即時交互性，在信息傳播速度得到提升的同時，也帶來了虛假信息和市場信息操縱等問題，個體決策必須更多的考慮對信息真實性的甄別；3.個體擁有了大范圍信息搜索能力，，在決策過程中可以隨時改變獲取信息來源，從而使金融市場信息交互網(wǎng)絡結構呈現(xiàn)出動態(tài)演化的復雜特性。這些改變對個體利用信息做出投資決策的過程產(chǎn)生了重要影響，也更進一步地影響了資產(chǎn)價格的形成。 面對由科技進步帶來的信息擴散渠道和個體對信息處理方式的轉變，現(xiàn)有的研究均只從某一個側面反映了市場信息擴散過程的改變。本文利用計算實驗建模的優(yōu)勢，自底向上地對個體信息甄別行為建模，并在個體信息交互層面加入復雜網(wǎng)絡作為信息的擴散渠道。分別建立了具有固定信息擴散網(wǎng)絡結構的人工股票市場和具有動態(tài)演化信息擴散網(wǎng)絡結構的人工股票市場，研究異質信息源、動態(tài)信息擴散網(wǎng)絡結構等多種要素對個體信息甄別能力和資產(chǎn)價格的影響。 本文通過引入異質信息源和復雜網(wǎng)絡結構，得到了與傳統(tǒng)信息甄別模型不一致的結論。本文發(fā)現(xiàn)信息擴散網(wǎng)絡結構和異質信息源可以影響非知情者的信息甄別能力和資產(chǎn)價格，在某些異質信息源和特定網(wǎng)絡擴散結構條件下，非知情者的信息甄別能力將得到很大的提高。此外，本文進一步研究發(fā)現(xiàn)，異質信息源對非知情者甄別信息能力的提升具有“閥值效應”，只有保證市場中信息有足夠的異質性，非知情者才能以較高概率準確甄別信息。本文還檢測了信息精度、傳播時間、信息搜索范圍和信息源鑒別成本等因素對個體信息甄別能力及資產(chǎn)價格的影響，這些發(fā)現(xiàn)都為防范金融市場虛假信息擴散及市場信息操縱提供了必要的理論基礎和政策建議。
[Abstract]:The development of Internet and social media has significantly changed the information interaction mode of individuals in the financial market in three aspects: 1. It has produced a large number of "individual information sources" with wide influence. Individual decision-making behavior is faced with a large number of information channels that have never existed before; 2. Market information shows heterogeneity and instant interactivity, which brings problems such as false information and market information manipulation while the speed of information dissemination is improved. The individual decision must consider more to the information truthfulness screening; 3. Individuals have the ability to search for information on a large scale, and they can change the sources of information at any time in the decision-making process. Thus, the information interaction network structure of financial market presents the complex characteristics of dynamic evolution, and these changes have an important impact on the process of making investment decisions by individuals using information. It also further affects the formation of asset prices. In the face of the information diffusion channels brought by the progress of science and technology and the individual transformation of the information processing mode. The existing research only reflects the change of market information diffusion process from one aspect. This paper makes use of the advantage of computational experimental modeling to model individual information discrimination behavior from bottom up. The artificial stock market with fixed information diffusion network structure and the artificial stock market with dynamic evolution information diffusion network structure are established respectively. The market. The effects of heterogeneous information sources, dynamic information diffusion network structure and other factors on individual information discrimination ability and asset price are studied. In this paper, heterogeneous information sources and complex network structures are introduced. It is found that the information diffusion network structure and heterogeneous information sources can affect the ability of information screening and asset prices. Under the condition of some heterogeneous information sources and specific network diffusion structure, the ability of information discrimination of non-insiders will be greatly improved. In addition, this paper further studies and finds out. Heterogeneous information sources have a "threshold effect" on the improvement of the ability of uninformed persons to identify information, only to ensure sufficient heterogeneity of information in the market. The information accuracy, propagation time, information search scope and information source identification cost are also examined to determine the impact of the factors on the ability of individual information screening and asset price. These findings provide necessary theoretical basis and policy suggestions for preventing the spread of false information and manipulation of market information in financial markets.
【學位授予單位】：天津大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F830.91;F224

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