A STATISTICAL DYNAMIC APPROACH TO STRUCTURAL EVOLUTION OF COMPLEX CAPITAL MARKET SYSTEMS
A STATISTICAL DYNAMIC APPROACH TO STRUCTURAL EVOLUTION OF COMPLEX CAPITAL MARKET SYSTEMS
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DOI：
10.1142/s021797921110031x
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发表时间：
2011-05
影响因子：
1.7
通讯作者：
Xiao-lin Shao;L. Chai
中科院分区：
文献类型：
--
作者：
Xiao-lin Shao;L. Chai
资本市场作为现代金融体系的重要组成部分，在社会多元化资源配置和经济交往中发挥着至关重要的作用。超越基于新古典经济学的传统模型和/或理论，将资本市场视为典型的复杂开放系统，本文试图开发一种新方法来克服现有研究的一些缺点。通过定义资本市场系统的广义熵，从统计动态角度提出了资本市场运行的理论模型和非线性动态方程。以1995年至2001年的美国证券市场为典型案例进行模拟分析。讨论并总结了一些有指导意义的结果。
As an important part of modern financial systems, capital market has played a crucial role on diverse social resource allocations and economical exchanges. Beyond traditional models and/or theories based on neoclassical economics, considering capital markets as typical complex open systems, this paper attempts to develop a new approach to overcome some shortcomings of the available researches. By defining the generalized entropy of capital market systems, a theoretical model and nonlinear dynamic equation on the operations of capital market are proposed from statistical dynamic perspectives. The US security market from 1995 to 2001 is then simulated and analyzed as a typical case. Some instructive results are discussed and summarized.