基于Ising模型的股票价格投机泡沫形成机制研究

股票价格非理性投机泡沫的形成及破灭会打击投资者的信心，从而影响股票市场的定价、融资等功能，不利于实现金融为实体服务的目标。项目旨在从科学的角度揭示股票市场非理性投机泡沫形成机制、演化进程、预警及防范机制。项目应用金融物理学的研究方法，在随机Ising模型的基础上，建立基于投资者投资态度、投资者之间相互作用关系、外界消息对投资者投资态度影响的动态微观金融模型。对该模型进行计算机模拟，并实证检验该股价模型是否可以重现中国股票价格波动的典型统计特征。在此基础上，定量分析各影响因素对非理性投机泡沫形成及演化的影响作用，应用该模型及股票市场的真实数据探索股票市场投资者有限理性与投机泡沫之间的动态反馈关系，非理性投机泡沫的临界现象，并在此金融模型的基础上设计股票市场非理性投机泡沫的防范模型。该项研究对深入理解并防范股价非理性投机泡沫，促进股票市场健康、和谐发展有着重要的理论与现实意义。

The formation and bursting of the irrational speculative bubbles in the stock price will impact investors’ confidence, thereby affecting the stock market's pricing and financing functions, and not conducive to achieving the goal of financial services for entities. This project aims to reveal the formation mechanism, evolution process, early warning and preventive mechanism of irrational speculative bubbles in the stock market from a scientific perspective. This project applies the research methods of Econophysics, to establish the dynamic microstructure of the impact of investor attitudes, such as earlier attitudes, interactions between investors, external news, based on the stochastic Ising financial model. By computer simulations and empirically method, we test whether the financial model can reproduce the stylized facts of China's stock price fluctuations. Then, it quantitatively analyzes the influence of influencing factors on the formation and evolution of irrational speculative bubbles, uses the simulation data from this this model and real stock market data to explore the dynamic feedback relationship between stock market investors’ bounded rationality and speculative bubbles, the critical phenomenon of irrational speculative bubbles, and design a model to prevent irrational speculative bubbles in the stock market. This research has important theoretical and practical significance for in-depth understanding and prevention of irrational speculative bubbles in stock prices, and promoting the healthy and harmonious development of the stock market.