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雷达卡
英文标题：
《Herding boosts too-connected-to-fail risk in stock market of China》
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作者：
Shan Lu, Jichang Zhao, Huiwen Wang and Ruoen Ren
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最新提交年份：
2018
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英文摘要：
The crowd panic and its contagion play non-negligible roles at the time of the stock crash, especially for China where inexperienced investors dominate the market. However, existing models rarely consider investors in networking stocks and accordingly miss the exact knowledge of how panic contagion leads to abrupt crash. In this paper, by networking stocks of sharing common mutual funds, a new methodology of investigating the market crash is presented. It is surprisingly revealed that the herding, which origins in the mimic of seeking for high diversity across investment strategies to lower individual risk, will produce too-connected-to-fail stocks and reluctantly boosts the systemic risk of the entire market. Though too-connected stocks might be relatively stable during the crisis, they are so influential that a small downward fluctuation will cascade to trigger severe drops of massive successor stocks, implying that their falls might be unexpectedly amplified by the collective panic and result in the market crash. Our findings suggest that the whole picture of portfolio strategy has to be carefully supervised to reshape the stock network.
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中文摘要：
在股市崩盘之际，人群恐慌及其蔓延起着不可忽视的作用，尤其是在中国，缺乏经验的投资者主宰着市场。然而，现有模型很少考虑网络股的投资者，因此无法准确了解恐慌蔓延如何导致突然崩盘。本文通过网络化共享共同基金的股票，提出了一种研究市场崩溃的新方法。令人惊讶的是，羊群效应起源于模仿在投资策略中寻求高度多样性以降低个人风险，这将产生关联度太高而不能倒闭的股票，并不情愿地加剧整个市场的系统性风险。尽管在危机期间，关联性太强的股票可能相对稳定，但它们的影响力如此之大，以至于一个小的向下波动将引发大规模后续股票的严重下跌，这意味着它们的下跌可能会被集体恐慌意外放大，导致市场崩盘。我们的研究结果表明，为了重塑股票网络，必须仔细监督投资组合策略的全貌。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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