英文标题：
《The impact of margin trading on share price evolution: A cascading
  failure model investigation》
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作者：
Ya-Chun Gao, Huai-Lin Tang, Shi-Min Cai, Jing-Jing Gao, H. Eugene
  Stanley
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最新提交年份：
2018
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英文摘要：
  Margin trading in which investors purchase shares with money borrowed from brokers is blamed to be a major cause of the 2015 Chinese stock market crash. We propose a cascading failure model and examine how an increase in margin trading increases share price vulnerability. The model is based on a bipartite graph of investors and shares that includes four margin trading factors, (i) initial margin $k$, (ii) minimum maintenance $r$, (iii) volatility $v$, and (iv) diversity $s$. We use our model to simulate margin trading and observe how the share prices are affected by these four factors. The experimental results indicate that a stock market can be either vulnerable or stable. A stock market is vulnerable when an external shock can cause a cascading failure of its share prices. It is stable when its share prices are resilient to external shocks. Furthermore, we investigate how the cascading failure of share price is affected by these four factors, and find that by increasing $v$ and $r$ or decreasing $k$ we increase the probability that the stock market will experience a phase transition from stable to vulnerable. It is also found that increasing $s$ decreases resilience and increases systematic risk. These findings could be useful to regulators supervising margin trading activities.
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中文摘要：
2015年中国股市崩盘的主要原因被认为是融资融券交易，即投资者用从经纪人那里借来的资金购买股票。我们提出了一个级联失效模型，并研究了保证金交易的增加如何增加股价的脆弱性。该模型基于投资者和股票的二分图，其中包括四个保证金交易因素，（i）初始保证金k$，（ii）最低维持费r$，（iii）波动率v$，和（iv）多样性s$。我们使用我们的模型来模拟保证金交易，并观察这四个因素对股价的影响。实验结果表明，股票市场可以是脆弱的，也可以是稳定的。当外部冲击可能导致股价连锁反应时，股票市场是脆弱的。当其股价能够抵御外部冲击时，它是稳定的。此外，我们还研究了这四个因素对股价级联失效的影响，并发现，通过增加v$和r$或减少k$，我们增加了股票市场从稳定向脆弱过渡的可能性。研究还发现，增加s$会降低恢复力，增加系统风险。这些发现可能有助于监管保证金交易活动的监管机构。
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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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