發(fā)布時(shí)間：2018-06-14 18:36

  本文選題：信息傳播 + 網(wǎng)絡(luò)結(jié)構(gòu)��； 參考：《天津財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：Web2.0時(shí)代的到來(lái),不但改變了日常生活中人類(lèi)的信息獲取方式,同時(shí)也對(duì)金融市場(chǎng)的信息傳播產(chǎn)生了深遠(yuǎn)的影響。一方面,傳統(tǒng)媒體發(fā)布公告的信息傳播渠道正在被更加公開(kāi)和迅捷的互聯(lián)網(wǎng)渠道取代,金融市場(chǎng)中信息源的異質(zhì)性特征更加明顯。另一方面,信息傳播渠道的自由不斷提高,新的市場(chǎng)風(fēng)險(xiǎn)也隨之產(chǎn)生。與Web2.0時(shí)代之前的信息傳播環(huán)境相比,更加復(fù)雜的信息傳播網(wǎng)絡(luò)和更為自由的信息傳播環(huán)境都迫切要求人們進(jìn)一步準(zhǔn)確認(rèn)識(shí)當(dāng)代金融市場(chǎng)的信息傳播過(guò)程及其對(duì)價(jià)格的影響規(guī)律,并利用這些規(guī)律管理實(shí)踐中不斷出現(xiàn)的新的市場(chǎng)風(fēng)險(xiǎn)。 為了更有效的開(kāi)展研究,本文把“信息傳播”定義為股票市場(chǎng)全部信息的一個(gè)特定子集,僅包括個(gè)體間交互的消息、新聞、流言等。通過(guò)實(shí)證分析和理論建模,本文對(duì)金融市場(chǎng)中信息傳播及信息網(wǎng)絡(luò)對(duì)資產(chǎn)價(jià)格的影響進(jìn)行研究。 本文發(fā)現(xiàn)信息的傳播數(shù)量和信息網(wǎng)絡(luò)結(jié)構(gòu)對(duì)資產(chǎn)價(jià)格日內(nèi)收益率波動(dòng)有顯著影響。這種信息傳播數(shù)量和網(wǎng)絡(luò)結(jié)構(gòu)的影響有可能為股票市場(chǎng)信息操縱鑒定提供一個(gè)新的思路。此外信息傳播過(guò)程中關(guān)鍵節(jié)點(diǎn)的數(shù)量和關(guān)鍵節(jié)點(diǎn)的轉(zhuǎn)發(fā)率對(duì)資產(chǎn)價(jià)格日內(nèi)收益率波動(dòng)有顯著影響,并且存在高度的正相關(guān)。 同時(shí)本文通過(guò)計(jì)算實(shí)驗(yàn)建模還發(fā)現(xiàn)信息傳遞網(wǎng)絡(luò)結(jié)構(gòu)對(duì)個(gè)體財(cái)富有重要影響。本文對(duì)知情交易者和信息搜尋者的信息渠道進(jìn)行統(tǒng)計(jì)后發(fā)現(xiàn),隨著agent的連接個(gè)數(shù)增加,知情交易者和信息搜尋者的每期平均財(cái)富呈現(xiàn)出了不同的規(guī)律。從信息傳遞結(jié)構(gòu)考慮,傳播信息渠道廣的知情交易者更容易實(shí)現(xiàn)對(duì)市場(chǎng)的控制,連接的信息搜尋者越多,每期的平均財(cái)富越大。而對(duì)于喜歡尋找二手信息的信息搜尋者來(lái)說(shuō),信息源越多,則其每期的平均財(cái)富越小。
[Abstract]:The arrival of Web 2.0 not only changes the way of obtaining information in daily life, but also has a profound influence on the information dissemination of financial market. On the one hand, the information dissemination channels published by traditional media are being replaced by more open and rapid Internet channels, and the heterogeneity of information sources in the financial market is more obvious. On the other hand, the freedom of the information dissemination channel improves continuously, the new market risk also produces along with it. Compared with the information dissemination environment before the Web 2.0 era, the more complex information dissemination network and the freer information dissemination environment urgently require people to understand more accurately the information dissemination process of the contemporary financial market and its influence law on the price. And make use of these laws to manage the new market risk that appears constantly in practice. In order to carry out the research more effectively, this paper defines "information dissemination" as a specific subset of all information in the stock market, which includes only the messages, news, gossip and so on. Through empirical analysis and theoretical modeling, this paper studies the influence of information dissemination and information network on asset prices in financial markets. This paper finds that the amount of information propagation and information network structure have a significant impact on the intraday return volatility of asset prices. This kind of information dissemination quantity and the influence of network structure may provide a new idea for stock market information manipulation and identification. In addition, the number of key nodes and the forwarding rate of key nodes in the process of information dissemination have a significant impact on the intraday return volatility of asset prices, and there is a high positive correlation. At the same time, we also find that the network structure of information transmission has an important influence on individual wealth. Based on the statistics of the information channels of informed traders and information searchers, it is found that with the increase of the number of agent connections, the average wealth of informed traders and information searchers presents different rules. Considering the information transmission structure, informed traders with wide information channels are more likely to control the market. The more information searchers connect, the greater the average wealth of each period is. For information searchers who prefer to search for second-hand information, the more information sources, the smaller the average wealth per issue.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F830.9;F224

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本文編號(hào)：2018566