在自主开发与真实股票交易所撮合过程完全相同的大学生模拟交易平台,采用真人被试的实验方法,在没有信息影响、没有新交易者进入的封闭交易环境下,场内交易者完全依据预期进行交易.发现五场交易实验都存在稳定均衡价格,交易者资产量大的市场达到均衡价格所用时间短且稳定,均衡价格的高低取决于相同预期交易者的数量(资产量).在分别引入高预期和低预期交易者后,发现他们是打破原均衡价格和产生大波动的动力,产生的新均衡价格是被其预期引导的.实验证明交易者预期能够决定股票的均衡价格,打破原有均衡价格必须有新的交易者进入.实验结果有助于揭示市场波动的本质,在实际中有助于为管理层提供更多的稳定市场手段.

Abstract The volume–volatility relationship usually ignores possible effects of stock shares. This article proposes a two-phase flow model assuming that capital and stock flows determine stock price and return volatility. Computational simulations suggest that monodirectional capital or stock flows and collective flows exert different effects on stock return volatilities. Considering the impact of stock flows, the positive relationship between capital and return volatility is no longer guaranteed. The inflow of capital and the outflow of stock increase stock price similarly; but exhibit completely different effects on stock return volatilities. A persistent stock inflow (outflow) reduces (intensifies) return volatilities, whereas a monodirectional persistent capital outflow has no such effect. When capital and stock flows’ velocities satisfy critical values determined by the initial state of the market, the market enlargement accompanied with increasing stock and capital shows no impact on market stability because of stable return volatilities. Otherwise, stock flows drive return volatilities with stronger effects than capital flows. Further experimental studies that simulate the real stock market through a trading system provide strong evidence supporting the two-phase flow model. Given similar driving forces of capital and stock flows, the interaction of them should be considered in constructing investment strategies and setting policies.

基于人工智能技术设计开发了证券交易虚拟仿真实验教学平台,包括实验教学管理系统和虚拟仿真交易.通过多情景实验设计和无时限实验实施,实现了证券交易现代化教学,智能化的实验考核系统有效提高了实验教学质量.该平台可以实现人机、师生、生生之间多角色交互性虚拟仿真实验,提高了学生参与实验的兴趣.

通过将北美典型的金融工程实验室的建立、开放对象、软硬件情况、规模以及它们的实验方向进行介绍和分析,将国外大学金融实验室与国内大学的金融实验室进行对比,找出国内与国外在金融实验室方面的差距,并提出了一些金融实验室建设和改进的意见.

论文研究采用问卷调查法,采集457名大学生的风险数据,测试大学生在不确定收益及亏损情况下的风险值及其总风险值.根据风险值的分布情况,建立了大学生五级风险分级体系,研究成果可用于制定有针对性的大学生风险教育.

Volatility of the stock is driven by the investors' trading activity, and investors' trading activity is determined by two necessary factors: cash and stock. We investigated how the IPO effected on the stock market based on the result of trading simulation experiments. In this paper, we carried out 3 experiments, and proved that the larger volume of the IPO, the easier the stock price drop-down in the transaction date, the more cash volume, the higher the stock-share price. The mathematical model was built-up according to the experimental results, it revealed the IPO has an ignored influence on stock price.

We investigated how the news effected on the stock market using event method and based on the result of laboratory experiment. According to a unidirectional information diffusion model, we simulated how news spread and then built up the correlation between news diffusion and the volatility of stock regarding the behavioral finance experiments. Our study concludes that volatility is relevant to not only the investors' acceptance level towards the news but also the importance of the news. Briefly speaking, the higher the proportion (the number of active participants among all traders) gets and the more important the news is, the greater the volatility will be.

本文采用MBTI量表与风险偏好测试表,通过对北京科技大学的本科生进行问卷调查,研究大学生风险偏好与人格的关系。研究结果表明：(1)大学生中61.1%的人为风险中性者,38.1%的人为风险爱好者,只有0.8%为风险规避者。(2)风险规避的主要人格类型为ESTJ,风险中性的主要人格类型为ESTJ,风险爱好的主要人格类型为ISFJ。(3)人格为ISFP的群体风险偏好均值最大；人格为INFP的群体风险偏好方差最大。

本文通过真人被试方法,设计了2场基金与散户作为对手进行交易的模拟实验,2场实验均发现模拟基金账户在股价上涨时买入股票,在下跌时卖出股票,不存在处置效应;用Odean“卖出比例法”计算发现基金账户的PGR＜PLR,DE＜0,也得到不存在处置效应的结论.通过分析146个散户账户交易数据,发现在股价下跌时89.20％的散户继续持有或买入股票;而在股价上涨时,81.42％散户卖出股票,说明散户存在明显的处置效应,用Odean“卖出比例法”计算发现95.12％的散户的DE值大于零,存在处置效应.将散户的处置效应程度与收益率进行对比分析,发现处置效应会降低投资者的收益率.

金融学视角的研究使用市场变量代表投资者情绪,未能触及情绪本质.从心理学视角出发,使用行为金融实验方法,研究股票投资者的真实情绪对收益率及后续决策风险偏好的影响.结果发现:1)股价单边下跌时,产生适度消极情绪的个体收益最高.2)对于后续盈利情境的决策,前期产生积极情绪的个体倾向于规避风险,产生消极情绪的个体倾向于寻求风险;对于后续亏损情境的决策,个体均表现为寻求风险.3)股价单边上涨或下跌时,个体最容易出现的具体情绪分别是“倍受鼓舞”、“内疚”等.

Overtrading is a common anomaly among stock investors. This study examines the relationship between overtrading and investment returns and the impact of the Big Five traits and gender on overtrading in a unilateral trend stock market using a simulated stock investment system. The data were derived from a sample of undergraduates from six universities who performed in a simulated stock investment situation and had their personality traits measured by the Big Five Personality Questionnaire. The results indicate that: (1) Overtrading was significant in rising stock markets, but not significant in falling markets. (2) The degree of female investors who overtraded was significant in rising markets. (3) The degree of overtrading investors who were high in extroversion or agreeableness was significant in rising markets. The implications of these results for more effective investment strategies are discussed.

Using a simulated stock investment system we examined the relationship between investors' emotions and their investment returns, and the moderating effect of personality and situation in a stock market. Participants were undergraduate students from 6 universities. The results showed that: (a) investors' positive emotions were positively correlated with investment returns in a market with a unilaterally rising price, and the moderating effect of extraversion was significant; (b) investors' negative emotions were negatively correlated with investment returns in a market with a unilaterally falling price, and the moderating effect of neuroticism was significant.

Based on the price-volume relation,the paper explains the distribution of the rate of return using the distribution of volume.We respectively discuss the relationship between the expected volume and the rate of return,and the unexpected volume and the rate of return.It is found that there is a significant positive correlation between the trading volume and the rate of returns,and that the rate of return can explain the effect on expected trading volume and unexpected trading volume,and either expected trading volume or unexpected trading volume can explain the effect on the rate of return.The volume in the data shows no obvious effect on the rate of return,but from the statistical characteristics,the distribution of the former can explain the distribution of the latter.

Based on the positive relationship between traders’asset allocation and the stock price volatility found in the behavioral financial experiments,the paper builts a mathematical model of traders’assets with funds taken into our consideration.As a consequence,funds have double effects on the stock market.At the beginning of issuing funds,funds will lead to market volatility;when the funds assets reach a certain quantity,funds will play the role of stabilizing the market.In addition,huge scale funds should be stopped because it may bring large volatility to the stock market.

证券投资学是一门理论综合度高、实践应用性强的学科,模拟教学在证券投资学课程教学理论联系实践的环节中发挥着重要作用。目前主流的基于世华模拟操作系统的证券投资模拟教学方法存在模拟交易不会影响股票价格、交易环境不可控、信息影响不明确、时间受限等缺陷。对模拟教学进行创新,开发的大学生模拟交易所系统实现了独立撮合和对实验环境完全控制,很好的解决了上述不足提升了课程教学效果。

For the effective analysis of investors' behaviors and professional practice teaching of securities investment,the undergraduate simulation exchange is designed with independent matching system,versatile functions and convenient operation,which framework can be divided into the following three parts: access interface,independent matching system,transaction account management and experimental operation control system.The independent matching system is the core of the simulation exchange,which is a prerequisite for the completion of all experiments.Through the acquisition and processing of experiment data,the characteristics of investors' behaviors can be analysed.Simulation exchange can also be applied to the securities investment professional practice teaching and stock simulation game.All the students who participate in professional practice teaching and stock simulation game are the test objects of behavioral finance experiments.

According to the behavioral finance experiments with real people,a mathematical model which describes relationship between the average market investment attitude and stock price is constructed.Firstly,the stability of the model is investigated by the related theory of nonlinear discrete dynamic system,and then contagion effect is identified based on whether financial market is stable.Numerical simulations indicate that there exists an optimal contagion effect in the region of rational contagion effect.It can make the stock price convergence to equilibrium price with the fastest speed.Furthermore,the relationship between capital structure and stock price volatility is also investigated in the region.Specifically,under the influence of rational contagion effect,when the numbers of long position traders and short position traders are roughly equal in the market,share price volatility shows a parallel trend with slight amplitude;when the number of long position traders are more(less) than the number of short position traders,share price volatility shows a decline(an upward) trend in huge amplitude.

In this paper, making the seventy-five countries as simples, we first use computing methods of Passche weighted and simple average to present an index design method of change rate based on formation principle of index, and then work out stock price indexes of Asia-Pacific, America and Europe, respectively. We draw up a unified index of global stock market according to the three regions. Finally, we empirically make a analysis of the correlation, between world stock index and region stock index. We use Granger causality method to test the causal relationship between world stock index and GDP. The results indicate that world stock market is the ＂barometer＂ of world＇ national economy.

本文运用经验模态分解(EMD)方法对螺纹钢期货和现货价格的对数收益率数据进行分解。通过对不同周期的分量进行对比,本文研究了套期保值期限与最优套期保值比率和套期保值绩效之间的关系。实证结果表明:随着套保期限的增加,最优套期保值比率先增大,后减小;螺纹钢市场进行不同期限的套期保值能够不同程度地降低螺纹钢现货生产和经营的风险,短期套期保值的效果更好。

To explore the relationship between traders' capital structure and stock price volatility,we design and implement ten behavioral finance experiments with the same contents.According to the experimental phenomena and the principle that the positions of traders reflect their investment attitude towards market,this paper constructs a mathematical model describing the average market investment attitude and stock price.We first study the stability of the model by the related theory of nonlinear discrete dynamic system,and then identify contagion effect based on whether financial market is stable.Numerical simulations indicate that there exists an optimal contagion effect in the region of rational contagion effect.Furthermore,it also investigates the relationship between capital structure and stock price volatility when contagion effect is rational.Specifically,under the influence of rational contagion effect,when the numbers of long position traders and short position traders are roughly equal in the market,share price volatility shows a parallel trend with slight amplitude;when the number of long position traders are more(less) than the number of short position traders,share price volatility shows a decline(an upward) trend in huge amplitude.