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中国股票市场曾经在2007年和2015年发生过两次股灾,给资本市场和实体经济带来了巨大的冲击。剖析股市崩盘的传导机理、理解市场冲击以及如何有效预测股市崩盘具有重要的意义。该文借助经济物理学的方法,对上证综指和深证综指的崩盘前后动力学进行检验,并创新性地利用对数周期幂律模型研究我国股票市场泡沫的性质以及对泡沫事件进行预测。该文发现股市崩盘的特征符合G-R规律与Omori定律,但两次股市崩盘的特点并不相同,从而导致使用LPPL模型对两次崩盘进行预测的精度不同。
The stock market in China once had two stock market strikes in 2007 and 2015, which brought tremendous impact on the capital market and the real economy. It is of great significance to analyze the conduction mechanism of the stock market crash, understand the market impact and how to effectively predict the stock market crash. This paper uses the method of economic physics to test the dynamics of the Shanghai Composite and the Shenzhen Composite before and after the collapse and uses the logarithmic periodic power law model to study the nature of the stock market bubble in China and the prediction of the bubble event . The paper finds that the stock market crash is characterized by G-R rule and Omori’s law. However, the characteristics of the two stock market crashes are not the same, which leads to the different accuracy of using the LPPL model to predict the two crashes.