Abstract:

With the rise of unilateral trading doctrine and the further opening of China’s financial market, the volatility of cross-border capital flows has increased, so has the systemic risk of China’s stock market. In the context of the Sino-US trade war and China’s economic transformation, China needs to explore ways to prevent the stock market crash. Based on the self-organization theory of complex systems, this paper establishes a self-organization model of stock market crash based on forced vibration of the single degree of freedom system. Besides, it compares the real data stock market crash in history from trend form, volume-price relationship, power-law property, and momentum effect, which proves the reliability of the model. Moreover, it studies the process of stock market crash and discusses the internal mechanism to provide a theoretical basis for predicting the occurrence of stock market crash.

Key words: stock market crash, vibration theory, self-organizing system, financial physics

摘要：

随着单边贸易主义的抬头和中国金融市场的进一步开放，跨境资本流动波动性增强，中国股票市场的系统性风险也不断提高。在中美贸易战和中国经济转型的背景下，中国需探讨如何预防股市崩盘的方法。以复杂系统的自组织理论为视角和框架，建立基于单自由度系统受迫振动的股市崩盘自组织模型。从走势形态、量价关系、幂律性质和动量效应4个方面与历史上股市崩盘的真实数据进行对比，证明了模型具有良好的拟合性。同时研究了股市崩盘的过程并且探讨了其中的内在机理，为预测股灾发生提供理论基础。

关键词: 崩盘, 振动理论, 自组织系统, 金融物理