文献类型：期刊文献

中文题名：金融市场的宏观建模和微观建模——从金融海啸与市场风险谈起

英文题名：Macro and microscopic modeling of financial markets——sailing from financial tsunami and market risks

作者：周炜星[1]

机构：[1]华东理工大学商学院金融物理研究中心,上海200237

年份：2010

卷号：39

期号：1

起止页码：22

中文期刊名：物理

外文期刊名：Physics

收录：CSTPCD;;北大核心:【北大核心2008】；

基金：上海市曙光计划(批准号:2008SG29);教育部新世纪优秀人才支持计划(批准号:NCET-07-028)资助项目

语种：中文

中文关键词：金融物理学;金融海啸;复杂性科学;市场建模

外文关键词：econophysics, financial tsunami, complexity science, market modeling

摘要：金融市场是一个复杂系统,高风险大波动危象频仍,而传统经济金融理论对此无能为力.文章从复杂性科学视角出发,通过市场宏观建模,描绘出当前金融海啸一幅泡沫演化和湮灭的图像.文章进一步论述了一个基于市场微观模型的计算实验金融学框架,认为金融学应当重建唯象学框架,并指出金融物理学在经济学科学革命中的重要性.
Financial markets are complex systems, where crises of large fluctuations with high risks take place more than often. However, classical economics is unable to handle these situations. From a complexity science perspective, we present a picture of the evolution and burst of financial bubbles for the current financial tsunami based on the macroscopic modeling of financial markets. We further introduce a framework of computational experimental finance based on the microscopic modeling of markets. We argue that finance should be rebuilt resorting to a phenomenology framework, and econophysics will play a crucial role in this scientific revolution of eco- nomics.