金融系统复杂性问题研究述评

复杂性科学研究在国内外方兴未艾,从复杂性角度去审视,金融系统具有非线性、非周期性、动力系统性、初值敏感性和自组织等一系列复杂性表征,是一个开放的、动态的复杂巨系统。20世纪80年代中期以来,研究金融系统复杂性应用比较广泛的理论主要有混沌理论、分形理论、标度理论和突变理论等源自自组织非线性动力学、热力学领域的相关理论;在金融系统复杂性建模方法上,以主体建模（ABM）思想为指导,进一步提出了复杂适应系统（CAS）理论,基于“主体”设定一些“规则”运用计算机建模,对主体之间的复杂交互作用进行着重考察,克服了传统建模方法的诸多缺陷;在实证研究方面,主要分析了金融市场的时序分布规律和市场异象特征。但是,现阶段金融系统复杂性的研究仍有着明显的局限性,存在较大的进一步研究的空间。

A Commentary on Research about Complexity of Financial System

Complex science, a new and developing interdisciplinary science nowadays, has grown rapidly. From the perspective of complexity, finance system is an open, complex, dynamic and giant system, appearing non- linear, non - periodic, and sensitive to initial value and self - organized features. Since the middle 80s of 20th century, chaos theory, fractal theory, scaling theory and catastrophe theory, which are traced back to the theory about self- organized and non - linear dynamics and thermodynamics, have been applied widely on the complexity of finance system. Based on the thought of Agent Based Modeling （ABM）, the theory has been put forward to CAS theory that models should be created applying computer techniques under the consideration of some rules, exploring the complex interactions among agents-the core of CAS theory. In order to explore the features of distribution about the financial series, many empirical analyses have been clone and some unusual financial phenomena have been unfolded. Nevertheless, great deals of question about the complexity of finance system need to be clear up and much study on this field is worthy to be done further.