| 引用本文: | 赵贞玉, 欧阳令南, 祝 波.用弹簧振子理论研究证券价格波动的新范式[J].控制理论与应用,2005,22(1):76~80.[点击复制] |
| ZHAO Zhen-yu, OUYANG Ling-nan, ZHU Bo.The new theorem of using Spring Oscillator Theoryto study capital market[J].Control Theory and Technology,2005,22(1):76~80.[点击复制] |
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| 用弹簧振子理论研究证券价格波动的新范式 |
| The new theorem of using Spring Oscillator Theoryto study capital market |
| 摘要点击 1492 全文点击 1162 投稿时间：2003-05-07 修订日期：2003-11-19 |
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| DOI编号 |
| 2005,22(1):76-80 |
| 中文关键词 弹簧振子理论 有效市场假说 过度反应 Laplace变换 |
| 英文关键词 Spring Oscillator Theory efficient market hypothesis overreaction Laplace transform |
| 基金项目 |
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| 中文摘要 |
| 法玛在有效市场假说中根据价格所反映信息的层次将有效市场分为强有效市场、次强有效市场和弱有效市场.有效市场假说要求市场能对新公布的信息在瞬间作出"理智"、"正确"的反应,买卖双方的竞价在信息公布的瞬间达到新的均衡.这无法解释资本市场中经常出现的各波行情,而且,目前对弱有效市场的实证研究方法中根本没有考虑新信息对原有价格关系的冲击.利用控制论原理,将证券价格在新信息作用下的波动比拟成弹簧振子在受到外力作用下的振动,给出了研究资本市场定价效率和交易费用的新范式,简化了对资本市场"过度反应"及"不足反应"的实证研究方法. |
| 英文摘要 |
| According to the levels of the information the price reflects,Fama classified the efficient market into three types: weak efficient market,semi-strong efficient market and strong efficient market.The Efficient Market Hypothesis requires the market to take rational and correct responses to the new information immediately; the price of the market reaches the new equilibrium once the new information is released.However,this can not explain the waves of the transaction which often appear in the capital market;furthermore,the current empirical research method for the weak efficient market does not consider the impacts on the existing securities prices of the new information. This paper uses the cybernetical theory to compare the fluctuations of the stock prices under the new information to the oscillations of the spring oscillator under the outside force,thus gives out the new theorem of studying the pricing efficiency and trading fees in the capital market,and also greatly simplifies the empirical study method for "overreaction" and "under-reaction". |
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