金融系统复杂性问题研究述评

237Vol.23No.7Statistics&InformationForum20087Jul.,2008:2008-03-27:(1962-),,,,,,:,金融系统复杂性问题研究述评许涤龙,沈春华(,410079):,,,2080,;,(ABM),(CAS),!∀!∀,,;,,,:;;ABM;CAS:F832.1:A:1007-3116(2008)07-0080-061984,(SantaFeInstitute,SFI),,,;,,,一金融系统的复杂性表征:,,,,,(),,,,,,,,(),,,,,80,(),,,,,,(),,,,!∀,(),,,,,,二金融系统复杂性理论研究动态,,:20,,,:;,;LyapunovLyapunov,Wolf(1985)Wolf;Jocobian;GyrgyIchiro(1993)p-,,;Rosenstein(1993)PetersMandelbort,,(FractalMarketHypothesis,FMH)(EMH),:;,;FMH(R/S),,Hurst(DetrendedFluctuationAnalysis,DFA)DFAPeng(1993,1994)DNA,DNA,,DFA,,!81,:∀,,Perron(1989),ZivotAndrews(1992)Perron;ChenGupta(1996,1997),,Zou(2007),,三复杂适应系统理论在研究方法上的贡献(AgentBasedModeling,ABM),ABMABM,Holland2090SFI(ComplexityAdaptiveSystem,CAS),()ABMCAS,,:!∀;();(),;,ABMAgent(),,:?Holland!∀,!∀,Holland###,,Holland(emergence)(CAS)()CASHollandCAS:1主体间以及主体与环境之间存在非线性的作用机制2由于主体间以及主体与环境间的交互作用会对系统产生不可预期的整体性3主体能适应其他主体的行为及环境的约束4系统会随时间而进化,CAS7:(aggregation)(nonlinearity)(flow)(diversity)(tagging)(internalmodels)(buildingblocks),4,,3CAS:,,,,,,,,,,;,()CASCAS,!∀,,:1侧重考虑宏观信息间接相互作用的模型(以SFI的人工股票市场模型(ASM)为代表)ASMSFI2090,CAS82,ASM,,,,ASM,,ASM,ASM,()ASM,,ChenYeh(2001)SFI,,,,,,,,Arthur(1997)ASM(endogenousexpectations),,,;,2侧重考虑主体之间局部的相互作用的模型,又可称为!渗透模型∀(PercolationModel)ContBouchaud(1997)StaufferSornette(1999),!∀ContBouchaud,EguiluzZimmermann(1999)ContBouchaud,,!∀(fattailed)FarmerJoshi(2002)ASM,,;,Nash:,,,(multi-personprisoner∃sdilemma)Arifovic(1996),KarekenWallace(1981),ShumrakDarley(1999),CAS,Higgs(2000)CAS(APEC),CASAPEC四金融系统复杂性实证研究新进展()(),Brockett(1988);ScheinkmanLeBaron(1989);MayfieldMizrach(1992)S&P500;EldridgeColeman(1993)FT-SE100;MantegnaStanley(1995)S&P500,,,,11000,S&P500Lvy;Gopikrishnam(1999),Ghashghaie(1996)83,::xt,vr;:(cascades),;,,;Arneodo(1997)Munoz(2007)Hurst,,,Hurst1,;1975~1999,Hurst,,Hurst,10.7,;Hurst0.5,,,,Munoz,,;(zerointelligence),###,(),:,,,Hurst五简评与展望2080,,,,,,:Peters(FMH),(EMH),,EMH,;,CAS,,,,,,,,,,:,,,??,:,,,###!∀(BoundedRationality),,,,,,:CAS,,,84,,,,CAS:,,,,,,,,,,,,,,,,,,:???,??,(:)ACommentaryonResearchaboutComplexityofFinancialSystemXUDilong,SHENChunhua(SchoolofStatistics,HunanUniversity,Changsha410079,China)Abstract:Complexscience,anewanddevelopinginterdisciplinarysciencenowadays,hasgrownrapidly.Fromtheperspectiveofcomplexity,financesystemisanopen,complex,dynamicandgiantsystem,appearingnon-linear,non-periodic,andsensitivetoinitialvalueandself-organizedfeatures.Sincethemiddle80sof20thcentury,chaostheory,fractaltheory,scalingtheoryandcatastrophetheory,whicharetracedbacktothetheoryaboutself-organizedandnon-lineardynamicsandthermodynamics,havebeenappliedwidelyonthecomplexityoffinancesystem.BasedonthethoughtofAgentBasedModeling(ABM),thetheoryhasbeenputforwardtoCAStheorythatmodelsshouldbecreatedapplyingcomputertechniquesundertheconsiderationofsomerules,exploringthecomplexinteractionsamongagents-thecoreofCAStheory.Inordertoexplorethefeaturesofdistributionaboutthefinancialseries,manyempiricalanalyseshavebeendoneandsomeunusualfinancialphenomenahavebeenunfolded.Nevertheless,greatdealsofquestionaboutthecomplexityoffinancesystemneedtobeclearupandmuchstudyonthisfieldisworthytobedonefurther.Keywords:financialsystem;complexity;agentbasedmodeling;complexadaptivesystem(上接第49页)TheEstimateofChina∃sPotentialEconomicGrowthRateWANGAiqing1,ANLiren2(1.SocialScienceDepartment,Xi∃anUniversityofPostandTelecommunications,Xi∃an710121,China;2.SchoolofEconomicsandManagement,NorthwestUniversity,Xi∃an710069,China)Abstract:ThispaperestimatesChina∃spotentialeconomicgrowthratebyusingtwomethods,thetraditionalwayandtheoneweproposeourselves.Thepotentialeconomicgrowthratebyourwayis9.1%~9.5%.WiththehypothesisthatChina∃seconomicgrowthisdrivenbycapital,weestablishChina∃seconomicgrowthmodelandgetthepotentialeconomicgrowthratesthatarehigherthantherealGDPgrowthrateinsomeyears.Keywords:potentialeconomicgrowthrates;growthmodel;capitaldriving85,: