引入投资偏差构建行为宏观金融模型及应用--基于HS与CA结合的实验方法研究

摘要

Based on behavioral finance and complexity science as well,through the collaboration of ex-perimental methods with HS (Human Subject) and CA (Computational Agent),describing reasonably and measuring and analyzing the real characteristics of the individual investor’s behaviors at micro-level,using integrated modeling and dynamic simulation technology,for cognizing the conduction mechanism of complex capital market and typical phenomena.This paper introduces the basic principle,methods and simulation steps of macro-modeling of behavioral finance,and discusses mainly the characteristics of key behaviors of stock market and the threshold of critical changes,thus illustrates briefly applied cases including the internal relations between impulsive behavior and the fluctuation of stock’s,the asymmetric cognitive bias and volatil-ity cluster,deflective peak and fat-tail of China stock market.%基于行为金融学及复杂性科学等，通过将人类主体（HS）与计算机虚拟主体（CA）相结合的实验方法，合理地刻画、测度和分析微观投资个体的真实行为特征，利用一体化建模和动态模拟技术，由此认知资本市场复杂的传导机理和典型现象。本文概括介绍宏观行为金融建模的基本原理、方法和模拟步骤，重点探讨引发股市异象的关键行为特征、阈值及临界变化，并简介冲动行为与股价涨跌、层次认知行为与波动集聚、不对称行为与偏峰厚尾之间的内在联系等应用案例。