基于复杂网络与Multi-Agent融合的金融市场间风险溢出效应研究

本项目以复杂系统与复杂性科学的思想为指导，结合经济学、行为金融学、学习理论、计算机科学等学科理论与方法，融合复杂网络与Multi-Agent，构建人工多金融市场模型，研究金融市场间风险溢出效应规律特征。主要研究内容有：剖析全球金融市场的多重复杂形态，构建并实现人工多金融市场模型；研究冲击通过金融市场间实质性关联渠道和非实质性关联渠道造成的金融市场间风险溢出效应演化特征；分析不同冲击形式下金融市场间风险溢出效应演化特征及其差异；研究金融市场间关联网络结构、投资者间交互网络结构以及投资者行为对金融市场间风险溢出效应影响；研究金融市场间风险溢出效应控制策略。本项目将为金融市场间风险溢出效应研究提供新的视角，具有较强的创新性，其研究成果对我国金融市场风险的管理具有现实的理论意义和良好的应用参考价值。

Under the guidance of the thoughts of complex systems and complex science, this project constructs the model of artificial multiple financial markets based on the integration of complex network and Multi-Agent, combining other theories from economics, behavioral finance theory, learning theory, computer science and the like. And then it researches the rules of risk spillover effect among financial markets. The main research contents include analyzing the multiple complex morphology of the global financial market, building and realizing the artificial multiple financial markets, analyzing evolving characteristics of risk spillover effect among financial markets caused by shocks from substantial linkage channels and nonsubstantial linkage channels, studying the evolving characteristics and differences of risk spillover effect under different types of shocks, analyzing the impact of financial markets' network structures, investors'interaction network structures, and investors' behavior on risk spillover effect among financial markets, researching control strategies of risk spillover effect among financial markets. This project is innovative and would provide a new insight for research on risk spillover effect among financial markets, and its research results would have theoretical and practical values for Chinese financial market risk management.