鄒琳(湖南大學工商管理學院講師)

鄒琳，女，博士，現為湖南大學工商管理學院講師。

基本介紹

• 中文名：鄒琳
• 畢業院校：湖南大學
• 學位/學歷：博士
• 專業方向：管理學
• 任職院校：湖南大學

人物經歷

2001年獲湖南師範大學數學學士學位，2004年獲湖南大學套用數學碩士學位。2008年獲湖南大學管理學博士學位。

科研成果

主持項目

1、 湖南省基礎設施建設投融資體制創新研究，湖南省社科基金，2009

2、 基於agent的仿真股票市場建模及其在金融風險管理中的套用研究，中央基礎研究基金，2009

3、 行為和演化範式下完全人工金融市場建模及應，高校博士點基金，2010

研究項目

[1]金融市場multi-agent異質信息的風險形成機理及預警研究，國家自然科學基金青年基金項目（71301047），主持人，2014.1-2016.12。

[2]行為和演化範式下完全人工金融市場建模及套用研究，高等學校博士學科點專項科研基金（20100161120005），主持人，2011.1-2013.12。

[3]湖南省基礎設施建設投融資體制創新研究,湖南省社科基金，主持人，2010-2011.

學術成果

出版著作

鄒琳，楊密，馬超群，計算金融實驗建模方法及其套用研究.第一版.長沙:湖南大學出版社,2014.

簡介： 本書系統地總結了計算實驗金融理論，梳理了人工金融市場的發展脈絡。對人工金融市場的建模方法進行了歸納，綜述了計算實驗方法的套用。從個人行為與羊群行為建模的角度，對股票市場進行理論導向型個人行為建模，計算導向型個人行為建模和個人行為與羊群行為建模，結合中國股票市場的特徵，構建了三個人工股票市場，利用計算實驗的方法，揭示了中國股票市場的複雜性特徵產生的原因以及投資者的行為對股票市場的影響。

本書的主要讀者對象為從事金融學科領域研究的高校教師、研究生、金融監管機構和各金融機構的決策者及研究人員。

發表論文

[1] Lin Zou, Yuanjing Yang, Junjun Zhang. The analysis of implicit mechanism of information on liquidity in an artificial stock market. Int. J. Intelligent Systems Technologies and Applications, 2015, Vol. 14, Nos. 3/4, 302-329 (EI)

摘要：In the stock markets, investors rely significantly on the information to make decisions. To study the effects of information dissemination on stock market liquidity, we build an artificial stock market with a two-layered network. This two-layered network is composed of an interpersonal relationship network and a medium network. In the artificial stock market, we study the path of information affecting the liquidity of stock market through changing information sources and information issuing frequency. The experiment results show that with the lower of information issuing frequency, the difference of holdings decided by information between investors will increase and the change of each investor’s holdings in two adjacent periods will increase. The market’s liquidity will increase. Furthermore, with the increase of the proportion of information issuing by public media, the difference of holdings decided by information between investors will gradually increase. The market’s liquidity will increase.

[2] 鄒琳，楊亞男，馬超群. 股票市場混沌演化機制:基於計算實驗方法的模擬解釋[J]. 系統工程，2013，（7）：8-14.

摘要：通過構造一個具有中國特色的人工股票市場，研究混沌的生成機制和混沌動力學過程。在建立基於雙向拍賣交易機制的人工股票市場的基礎上，進行控制性實驗。通過反覆實驗，挖掘導致股票市場混沌產生的序參量。實驗結果表明：政策因子、噪聲交易者 、交易者學習進化速度、交易者預測規則集中預測規則的數目和股票市場的流通量是股票市場的序參量，它們的變化會導致市場湧現的動力學特徵的改變，並且某些序參量的改變與股票市場混沌動力學特徵的出現並不是線性的關係。最後，根據對序參量的分析結果 ，提出了相應的混沌控制方法。

Abstract: By constructing an artificial stock market with Chinese characteristics, chaotic generated mechanism and chaotic dynamics process are studied. Based on an order-driven artificial Chinese stock market, this paper conduct controlled experiments.Through repeated experiments, order parameters are digged out which lead to stock market chaos. The result show that policy factor 、noise traders、interval of evolution、the number of traders' forecasting rules and the number of trading cycle are order parameters of stock market, and their change would lead to the change of dynamics characteristics emerged by market. Also it isn't linear relationship between the change of some order parameters and the appearance of stock market chaotic dynamics characteristics. Finally, based on the analysis result of order parameters, this paper put forward corresponding strategies to control chaos.

[3] 鄒琳，馬超群,楊曉光，周忠寶. 不同交易制度下股利支付率對股價影響：基於Agent系統的仿真研究[J]. 系統工程，2011，29（10）：7-13.

摘要：一般認為股利政策是股價的重要信號之一，但是不同交易制度下股利對股價影響的研究卻相當缺乏。本文從計算金融學的角度，通過計算實驗的方法，構建了人工金融市場，分別在做市商的交易機制和雙向拍賣交易機制下，研究股利支付的變化對股價的影響。結論表明，在做市商交易機制下，股利不能傳遞信息，而在雙向拍賣交易機制下，投資者可以通過股利來獲得股票的信息。這個結論對交易者的投資決策具有指導作用。

Abstract: One of important studying content of the signal transmission theory is whether non-anticipative change of dividend will bring non-anticipative change of stock price. Though computational and experimental method, we build an artificial stock market with trading mechanism of the market maker and double auction respectively, and study the relation between dividend and stock price based on computation finance theory. The conclusion indicates that dividend transmits different signs under different trading mechanism that will be very useful for investors.

[4] 鄒琳，馬超群，張虹. 金融混沌Duffing-Holms模型及其控制方法研究——基於OGY方法和非線性同步控制方法[J]. 湖南大學學報（自科版），2011，12：88-92. (EI收錄)

摘要： 分析並發掘了金融混沌的 Duffing -Holms 模型的序參量, 提出了 Duffing -Holms 模型存在周期解的條件, 這表明可以通過 OGY 方法和非線性同步方法對金融混沌進行控制. 在進行 OGY 控制時, 設定了 Duffing -H olms 模型的一個周期解, 並通過數值模擬將混沌控制到該軌道上, 結果指出要對中國金融市場進行有效的混沌控制, 必須做好充分準備, 對金融市場進行微調. 非線性同步方法的數值模擬結果顯示, 可以通過確定一個市場為驅動系統, 另一個為受控回響系統, 控制滬深兩市的混沌.

Abstract: The order parameter of Duffing -Holms model is analyzed and found out. Existence conditions of Duffing -Holms model's periodic solutions are put forward, which indicates that we can control financial chaos in OGY method and nonlinear synchronous method. One periodic solution is set out before numerical simulation of OGY is done. The conclusion has demonstrated that, to control effectively chaos in Chinese financial market, the government must prepare fully and adjust slowly. Finally, the conclusion of numerical simulation of nonlinear synchronous controlling has demonstrated that the government can control stock markets of Shanghai and Shenzhen by indentifying one market as the driven system and the other as the controlled response system.

[5] 馬超群，楊密，鄒琳. 基於Agent異質行為演化的人工金融市場及其非線性特徵研究[J]. 財經理論與實踐，2011，32（2）：2-7.

摘要：通過構建基於Agent的人工金融市場，試圖從交易者個人異質行為演化的角度研究金融市場非線性特徵的形成。市場中，Agent依賴個人行為特徵，如：情緒、記憶長度等，來同時考慮基本面信息與價格趨勢，針對當前市場狀態，基於經驗認知權衡二者後形成價格預期與交易行為。權重的自適應性更新揭示了個人行為的演化，其通過遺傳算法與生成函式進化預測規則來實現。模擬實驗表明，在做市商的價格生成機制下，當市場由自信的基本面分析者，技術分析者和自適應性理性交易者組成時，人工金融市場呈現出與真實市場相似的非線性特徵---尖峰、厚尾，波動聚集性，長期記憶性以及混沌特徵。這為探究導致市場產生非線性特徵的行為因素提供了一個計算實驗平台。

Abstract: This paper explores the formation of financial market’s nonlinear characteristics from the standpoint of the evolution of investor individual’s heterogeneous behavior through an agent-based artificial financial market. In our market, agent will consider fundamental information and price tendency simultaneously relied on personal behavioral characters, such as mood, memory length and so on, make the trade-off between them based on empirical knowledge, then form price expectation and trading behavior to current market state. The adaptive updating of the weight represents the evolution of agent’s behavior, which is realized by the evolution of forecast rules with Genetic Algorithm (GA) and Generation Function (GF). Simulation testing shows that when the market fraction is composed of confident fundamentalist, chartists and adaptively rational agents, artificial financial market appears the same nonlinear characteristics--leptokurtosis, fat tail, clustered volatility, long-term memory and chaos, as real markets do, under a market maker scenario. This provides a computational experiment platform to study these behavioral factors, which cause the market to emerge nonlinear characteristics.

[6] 鄒琳，馬超群，劉鈺，崔璨. 基於財富與信息角度的人工股票市場建模及非線性特徵形成機理[J]. 系統工程，2010，28（10）：29-35.

摘要: 在 Chinrella人工股票市場的交易框架下, 建立了在異質信念模組中增加財富與信息模型的人工股票市場。並通過多次實驗, 研究了財富與信息對股票市場非線性特徵的影響。結果表明, 收益率的尖峰、厚尾, 波動聚集性, 長期記憶性這三種非線性特徵的形成各不相同。 財富分布均勻更多導致收益率的尖峰、厚尾, 長期記憶性產生, 而財富分布不均勻導致收益率波動聚集性的產生; 技術分析者信息處理方面, 不均勻處理更多導致尖峰、厚尾產生, 均勻處理更多導致波動聚集性產生, 利用更多過去信息將更多導致長期記憶性產生。 最後, 從股票市場非線性特徵的形成機理角度提出了完善股票市場的建議。

Abstract : Under trading framework of Chinrella’s artificial stock market , we build a new artificial stock market to add wealth and information models in heterogeneous belief module . Through many experiments , we study influence of wealth and the information on the nonlinear characteristic of stock market. T he results show that the formations of three nonlinear characteristics such as leptokurtosis, volatility clustering, long memory of returns are different . The even distribution of wealth will more likely to lead to leptokurtosis and long memory of returns , while the uneven distribution o f wealth w ill more likely lead to volatility clustering of returns . W hen technical analysts process information unequally, leptokurtosis will be more likely to occur, whereas volatility clustering w ill be more likely to occur . The use of more past information tends to lead to long memory of returns. Finally , we give some suggestion on how to improve stock markets from the view of formation mechanism of the stock market’s nonlinearity.

[7] M. Yang, C. Q. Ma, and L. Zou. Asset pricing under evolution of agent’s behavioral heterogeneity in an artificial financial market [C]. The 2nd International Conference on Information Engineering and Computer Science, 2010,(3):1562-1566.（EI收錄）.

Abstract : We use the study method of Computational Finance to explore the formation and evolution of asset prices from the standpoint of the evolution of investor individual's heterogeneous behavior through building an agent-based artificial financial market. In our model,agent will consider fundamental information and price tendency simultaneously at each period to form expectation that based on personal characters, such as mood,memory length,adjustment and extrapolation speed.The weight that he relies on both fundamental and technical analysis varies over time,which is the best prediction to current market state from empirical rule-set that has been updated through learning from the market situation with Genetic Algorithm (GA) and individual's trading experience with Generation Function (GF).The adaptive updating of the weight represents the evolution of agent's behavior.The model captures the two prime behaviors of agent and the trade-off between them,which realized by agent's adaptively personal learning. Simulation testing shows that even considering agent's variation of behavior in the market,the market fraction also has to be composed of the proportions of confident fundamentalists,chartists and adaptively rational agents as empirical evidence suggests, which will cause the so-called "stylized facts" in financial time series,under a market maker scenario.The impact of the market fraction varies on asset pricing also has been examined.

[8]李紅權，鄒琳.基於Agent的投資者情緒對於股市演化行為仿真研究[J]. 計算機工程與套用，2009, 45(12): 30-32.

摘要： 基於雙向拍賣機製作為價格生成機制， 套用遺傳算法來進化預測規則， 建立了中國股市的人工金融市場模型， 並在此基礎上研究了投資者情緒對於市場演化行為的影響。 研究結果表明人工市場能夠產生真實市場演化過程中的混沌動力學行為， 並且市場演化行為隨著投資者情緒的變化而變動。這一研究對挖掘中國股票市場的演化規律具有重要意義。

Abstract：Based on the double auction mechanism for pricing and the Genetic Algorithm to optimize forecasting rules， this paper proposed a new artificial financial model to simulate China’ s stock market， and moreover， made a study on the effect of investor sentiment on market evolution.The results show that the artificial stock market can generate chaotic dynamics in market evolution which is similar to the study in real markets， and market evolving behaviors change along with investor sentiment.This study would provide new sight for research on financial market evolution rules.

[9] 鄒琳，馬超群，李紅權. 中國股市仿真系統建模及其非線性特徵研究[J].系統管理學報，2008，17（4）：385-389.

摘要： 作為新興的股票市場 , 中國股票市場還不成熟和完善 , 用傳統方法很難建模。在交易者模型中引入了噪聲交易者模型 , 並加入政策因子 , 套用遺傳算法來進化預測規則 , 建立了 Agent 的價格預期模型。同時根據中國股利收益率偏低的特點 , 建立了中國的股利動力學模型。在此基礎上建立了中國股票市場仿真系統。對該系統進行模擬及分析 , 發現仿真系統與真實市場同樣主要的非線性動力學特徵 — — 分形和混沌動力學特徵。這一研究對挖掘中國股票市場的演化規律和混沌動力學產生的關鍵因素具有重要意義。

Abstract :As an emerging booming stock market , Chinese stock market has not mature nor perfect. It is difficult to model it by using traditional methods. In this paper , we divide traders into rational traders and noise traders and introduce a model of noise traders. Joining policy factor and evolving forecasting rules with GA , we modeling the formation of Agent’s price expectations based on character of Chinese stock market. At same time , we build the dividend dynamic model with the character that the dividend distribution ratios are very low for Chinese stocks. Based on these models ’ we simulate Chinese stock market. Then we compare the characteristic of real stock market and of the artificial stock market and find real stock market and artificial stock market are of same primary nonlinear characteristic 2 fractal and chaos. It is significant to study evolving rules of Chinese stock market and order parameters that lead stock market come into being chaos.

[10] Lin Zou, Chaoqun Ma. Agent-based artificial Chinese stock market and nonlinear characteristic analysis[J]. In：Proc of Management Track within WiCOM：Information Systems and Management, 2008.(EI收錄)

Abstract : In Consideration of the characteristics of the Chinese stock market, we modeled the formation of Agent’s price expectations, with the policy introduced as a factor into the model. We categorized traders as rational traders and noise traders, and constructed a model of noise traders. We also consider the characteristics of the Chinese stock market when we built dividend model. With these models, we simulated the Chinese stock market. Then we compared the characteristics of the real stock market and of an artificial stock market and found the real stock market and the artificial stock market are of the same primary nonlinear characteristics—fractal and chaos. This research is of great significance in capturing the critical factors which characteristics the evolving rules and the chaos dynamics of the Chinese stock market.

[11] 馬超群，鄒琳，李紅權. 股票市場的非線性結構與混沌效應檢驗：基於BDS方法與CR方法[J].湖南大學學報（自然科學版），2008，35（5）：85－88.（EI收錄）

摘要：在傳統研究方法的基礎上, 運用Rosenstein 提出的小數據量算法計算最大李雅普諾夫指數, 進而引入BDS與返回臨近檢驗 (CR), 從不同角度對中國股票市場的混沌動力學結構進行分析. 為了避免破壞混沌吸引子的分形結構 , 採用對數線性趨勢消除法 (LLD) 進行數據處理. 研究結果表明 , 中國股市具有低維混沌吸引子、對初值敏感依賴性、準周期性等顯著的非線性混沌特徵. 並就市場混沌的經濟含義與套用價值進行了探討。

Abstract :Based on the analysis of the traditional methods , the small data algorithm originated by Rosenstein was introduced to calculate the maximum Lyapunov exponent , and two types of tests 2 BDS and close return(CR) were used to further analyze the dynamical characteristic of chaotic of Chinese stock markets. For avoiding destroying the fractal structure , we utilized a special method of log -linear detrended (LLD) to process the sample data. The conclusions indicate that the notable chaos dynamics characteristic appear to exhibit in Chinese stock markets , such as a low dimensionality chaos attractor , sensitive dependence on initial values, quasi-periodicity. And the economical implication and application value of chaos was also investigated.

[12]李紅權，鄒琳.股票市場混沌吸引子的特徵量——基於G-P算法與小數據量算法[J]. 計算機工程與套用，2007, 6(43): 229-232.

摘要： 針對金融時間序列的特點, 論文分析已有混沌特徵量算法的基礎上, 採用特殊的對數線性趨勢消除法( 簡記為LLD ) 處理數據、 引入 Rosenstein 提出的小數據量算法等計算最大李雅普諾夫指數以及其它混沌系統的特徵量, 對我國證券市場的混沌動力學結構作出了穩健的分析。結果表明中國股市具有顯著的非線性混沌特徵, 這一結論將為金融理論的研究提供新的方向。

Abstract : This paper firstly discusses traditional arithmetic on the detection of chaos and the characteristics of financial time series.And then using log- linear detrending method , small data set arithmetic proposed by Rosenstein to calculate largest Lyapunov exponents and other detecting techniques , this study examines chaotic structure in China stock market.The results show that the stock market has significantly chaotic dynamics.Our conclusion can provide new approaches for research on financial market theory.

[13]Lin Zou, Zhan Zhou. Periodic solutions for nonautonomous discrete-time neural networks. Applied Mathematics Letters, 2006, 19: 174-185 .(SCI源刊)

Abstract: In this paper, we theoretically prove the existence of periodic solutions for a nonautonomous discrete-time neural networks by using the topological degree theory. Sufficient conditions are also obtained for the existence of an asymptotically stable periodic solution. As a special case, we obtain the existence of a fixed point to the corresponding autonomous discrete-time neural networks which corrects the error in [W.R. Zhao, W. Lin, R.S.Liu, J. Ruan, Asymptotical stability in discrete-time neural networks, IEEE Trans. Circuits Syst. I 49 (2002)1516–1520]. Numerical simulations are given at the end of the paper.

[14] Ma Chaoqun, Li Hongquan, Zou lin, Wu Zhijian. Long-Term Memory in Emerging Markets: Evidence from the Chinese Stock Market. International Journal of Information Technology & Decision Making. 2006, 5(3) : 495-501 .(SCI收錄，SSCI收錄)

Abstract: The notion of long memory, or long-term dependence, has received considerable attention in empirical finance. This paper makes two main contributions. First, the paper aims to provide evidence of nonlinear (long memory) dynamics in the equity market of china. Analysis of market patterns in china market (a typical emerging market) instead of U.S. market (a developed market) will be meaningful because little previous research on the behaviors of emerging markets has been carried out. Secondly, we aim at the comprehensive search of long memory feature in China stock market returns as well as volatility. While many empirical works were done on the detection of long memory in return series, very few investigations focused on the market volatility, though the long-term dependence in volatility may lead to some types of volatility persistence as observed in financial markets and affect volatility forecasts and derivative pricing formulas. So, using modified rescaled range analysis and ARFIMA model testing, this study examined long-term dependence in Chinese stock market returns and volatility. The results show that although the returns themselves contain little serial correlation, the variability of returns has significantly long-term dependence. It would be beneficial to encompass long memory structure to assess the behavior of stock prices and research on financial market theory.

[15]李紅權,馬超群,鄒琳.中國證券市場的混沌動力學特徵研究[J]. 中國管理科學，2005，13（專輯）：194-200.

摘要：證券市場價格行為服從隨機遊走過程還是混沌動力學過程,一直是近來金融實證研究爭論的一個熱點.在分析已有研究的基礎上,採用特殊的對數線性趨勢消除法(簡記為LLD)處理數據、使用Rosenstein提出的小數據量算法計算最大李雅普諾夫指數以及其它混沌系統的科學判據,對我國證券市場的混沌動力學結構做出了嚴謹的分析,結果表明中國股市具有顯著的非線性混沌特徵,並且闡明了證券市場混沌效應的經濟含義與套用價值.這一結論將為研究股票價格行為特徵與金融經濟學理論提供新的方向.

Abstract: Whether the behavior of stock market price follows a random process or is characterized by chaotic dynamics, it has received considerable attention in empirical finance. Firstly, this paper discussed many empirical works done on the detection of chaos in financial time series. And then using log-linear detrending method, small data set arithmetic proposed by Rosentein to calculate largest Lyapunov exponents and other detecting techniques, this study examined chaotic structure in China stock market. The result show that the stock market has significantly chaotic dynamics. In the end, we discussed its economic meaning and practical values. Our conclusion provides new approaches for assessing the behavior of stock price and research on financial market theory.

[16]佘升翔，馬超群，趙慶華，鄒琳. 股票組合的變現策略模型[J]. 統計與決策,2005, (8): 4-6.

摘要：構造股票組合的變現策略模型具有重要的現實意義。本文通過一系列參數定義，在單股票變現模型的基礎上納入股票相關性，建立了股票組合變現的最佳化模型，並通過一個算例對之進行了驗證和演示。

[17] 鄒琳，周展. 非自治離散神經網路周期解的漸近穩定性[J].湖南大學學報（自然科學版），2003，30（6）：92－93.

摘要：在神經網路的套用中,穩定性是一個關鍵.有些模型存在平衡點,而有些模型存在周期解.神經網路的套用,有些要求這些平衡點或周期解漸近穩定;有些提出了更高的要求,要求平衡點或周期解指數穩定.因此,該文主要研究神經網路周期解的存在性，利用拓撲度原理給出了非自治離散神經網路模型周期解的存在性,給出了非自治離散神經網路模型周期解漸近穩定的充分條件.

[1] Lin Zou, Zhan Zhou. Periodic solutions for nonautonomous discrete-time neural networks. Applied Mathematics Letters, 2006, 19: 174-185 (SCI源刊)

[2] Ma Chaoqun, Li Hongquan, Zou lin, Wu Zhijian. Long-Term Memory in Emerging Markets: Evidence from the Chinese Stock Market. International Journal of Information Technology & Decision Making. 2006, 5(3) : 495-501 (SCI收錄，SSCI收錄)

[3] 鄒琳，周展. 非自治離散神經網路周期解的漸近穩定性.湖南大學學報（自然科學版），2003，30（6）：92－93

[4] 馬超群，鄒琳，李紅權. 股票市場的非線性結構與混沌效應檢驗：基於BDS方法與CR方法.湖南大學學報（自然科學版），2008，35（5）：85－88（EI收錄）

[5] 鄒琳，馬超群，李紅權. 中國股市仿真系統建模及其非線性特徵研究.系統管理學報，2008，17（4）：385-389

[6] Lin Zou, Chaoqun Ma. Agent-based artificial Chinese stock market and nonlinear characteristic analysis. In：Proc of Management Track within WiCOM：Information Systems and Management, 2008(EI收錄)

[7] 鄒琳，馬超群，劉鈺，崔璨.基於財富與信息角度的人工股票市場建模及非線性特徵形成機理，系統工程，2010，28（10）：29-35

[8] 李紅權，鄒琳.股票市場混沌吸引子的特徵量--基於G- P 算法與小數據量算法. 計算機工程與套用，2007, 6(43): 229-232

[9]李紅權，鄒琳.基於Agent的投資者情緒對於股市演化行為仿真研究. 計算機工程與套用，2009, 45(12): 30-32

[10] 李紅權,馬超群,鄒琳.中國證券市場的混沌動力學特徵研究. 中國管理科學，2005，13（專輯）：194-200

[11] 佘升翔，馬超群，趙慶華，鄒琳. 股票組合的變現策略模型. 統計與決策,2005, (8): 4-6

發明專利

[1]金融風險管理輔助挖掘分析系統，馬超群、蘭秋軍、陳為民、鄒琳、文鳳華、張小勇、李紅權，2007.5。

榮譽獎勵

[1] 基於計算金融學的中國股票市場混沌動力學特徵及風險管理研究,湖南省優秀博士學位論文，2011.2