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学术讲座:Dynamics of Boom and Bust: Analysis of Investor Behavior During the 2015 Chinese Stock Market Crash

金工论坛第三讲

报告题目(Title):Dynamics of Boom and Bust: Analysis of Investor Behavior During the 2015 Chinese Stock Market Crash

时间:2018年4月16日周一,12:20-13:20

地点:对外经济贸易大学博学楼925

主讲人(Speaker):张俊

张俊,美国密西根大学心理学系终身教授、数学系终身教授,美国心理学协会会士,心理规律协会会士。现任《数学心理学》杂志副主编,《信息几何学》杂志创刊联合主编,全美脑与行为科学协会联盟(FABBS)执行董事。历任数学心理学协会副主席、主席、执行委员会委员。1985年获得复旦大学理论物理学士,1992年获得加里福尼亚大学伯克利神经生物学博士,并获聘于密西根大学任终身教职。在学术休假年度,张俊教授在澳洲墨尔本大学、法国科学院马赛所、加拿大滑铁卢大学、日本理研脑科学研究所、英国剑桥大学、美国哈佛大学等,担任客座研究员、访问教授等席位。2007-2011年期间,张俊受聘于美国国防部空军科研署数学信息生命学部担任基础研究项目经理。 张俊教授主持的M3实验室(“Mind,Machine,Mathematics”)长期开展认知建模、机器学习等人机界面、累脑人工智能算法研究,持续获得美国自然科学基金会、国防部等部门的科研经费支持和支撑。近年来,张俊教授开展行为大数据、人工智能应用研究,为滴滴出行等国内多家公司和创业园区咨询

摘要(Abstract):

I will present our recent behavioral economic investigations about trading behavior of various stock market participants in an attempt to address how an optimistic expectation of continued market growth (“boom”) turns into a pessimistic outlook of an unstoppable market downfall (“bust”). Market behavior is characterized by both overall stock price movement and volume, but also by the sub-types of investors known as margin traders and short-sell traders, who are usually experienced investors or investment entities betting on their beliefs of stock growth or downfall, respectively, in immediate future. We took advantage of availability of daily trading data of both margin traders and short-sell traders in the Chinese stock market (SHX), and analyzed a period of five years (2012-2017) of boom-and-bust surrounding the stock market crash in June 2015. In particular, we scrutinized data from the five-week period surrounding the “peak” and the drastic downfall (“crash”) then after. Our analysis reveals characteristic patterns in trading behaviors of margin buyers and short sellers in the Chinese stock market, and speculates on possible financial and psychological mechanisms behind the intriguing sequence of behaviors linked to the boom and bust of price movement of the stock market.