學(xué)術(shù)講座：Dynamics of Boom and Bust: Analysis of Investor Behavior During the 2015 Chinese Stock Market Crash

金工論壇第三講

報告題目（Title）：Dynamics of Boom and Bust: Analysis of Investor Behavior During the 2015 Chinese Stock Market Crash

時間：2018年4月16日周一，12:20-13:20

地點：對外經(jīng)濟貿(mào)易大學(xué)博學(xué)樓925

主講人（Speaker）：張俊

張俊，美國密西根大學(xué)心理學(xué)系終身教授、數(shù)學(xué)系終身教授，美國心理學(xué)協(xié)會會士，心理規(guī)律協(xié)會會士。現(xiàn)任《數(shù)學(xué)心理學(xué)》雜志副主編，《信息幾何學(xué)》雜志創(chuàng)刊聯(lián)合主編，全美腦與行為科學(xué)協(xié)會聯(lián)盟（FABBS）執(zhí)行董事。歷任數(shù)學(xué)心理學(xué)協(xié)會副主席、主席、執(zhí)行委員會委員。1985年獲得復(fù)旦大學(xué)理論物理學(xué)士，1992年獲得加里福尼亞大學(xué)伯克利神經(jīng)生物學(xué)博士，并獲聘于密西根大學(xué)任終身教職。在學(xué)術(shù)休假年度，張俊教授在澳洲墨爾本大學(xué)、法國科學(xué)院馬賽所、加拿大滑鐵盧大學(xué)、日本理研腦科學(xué)研究所、英國劍橋大學(xué)、美國哈佛大學(xué)等，擔(dān)任客座研究員、訪問教授等席位。2007-2011年期間，張俊受聘于美國國防部空軍科研署數(shù)學(xué)信息生命學(xué)部擔(dān)任基礎(chǔ)研究項目經(jīng)理。 張俊教授主持的M3實驗室（“Mind，Machine，Mathematics”）長期開展認知建模、機器學(xué)習(xí)等人機界面、累腦人工智能算法研究，持續(xù)獲得美國自然科學(xué)基金會、國防部等部門的科研經(jīng)費支持和支撐。近年來，張俊教授開展行為大數(shù)據(jù)、人工智能應(yīng)用研究，為滴滴出行等國內(nèi)多家公司和創(chuàng)業(yè)園區(qū)咨詢

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.