金融市场复杂性的机理与管理方法

The outstanding characteristic of Chinese stock markets is that the price is over fluctuating. It affects badly the stock market performing its functions. What is the causation and.mechanism of the over fluctuating? It is difficult to achieve a satisfactory explanation using the traditional theories and methods. We have explored a great many complex characteristic of the financial markets adopting complexity science theories and methods. These methods comprise R/S.analysis, general Hurst exponential analysis, multi-fractal de-trended fluctuation analysis,correlation dimension estimating, the largest lyapunov exponent calculating, the maximum range analysis, the relative yield analysis. After that we gave the definition of the complexity degree of.financial market, pointed the calculating method of complexity degree and the judging way on the structure complexity viewpoint and studied the complexity of several financial markets using the reality data. We also constructed and analyzed the model of the financial market. In the end, we.concluded the mechanism of the complex fluctuation and gave some management suggestion and advice according to the special traits of our financial market

本课题系统研究金融市场复杂性的机理与管理方法。研究确定金融市场复杂性的表现形式、发生与演化规律；选择典型金融市场进行实证分析与数值仿真，在研究的基础上，总结出适应金融市场复杂性特点的防范与管理方法。本课题综合运用金融理论、复杂性科学方法、管理理论开展研究。因此，本项目具有重要的科学理论价值，又具有深远的应用前景。.