摘 要
加密货币市场的快速发展为全球经济带来了新的投资机会与挑战，其高度波动性特征引发了学术界对市场运行机制及投资者行为的广泛关注。本研究旨在深入探讨加密货币市场的波动特征及其与投资者行为之间的关系，以揭示市场动态规律并为投资者决策提供理论支持。研究采用多维度分析方法，结合时间序列模型、极端值理论和行为金融学理论，对主流加密货币的历史价格数据进行建模，并通过问卷调查与交易数据分析相结合的方式考察投资者心理预期与实际交易行为。结果表明，加密货币市场表现出显著的非线性波动特征，且市场情绪在短期内对价格波动具有重要影响；此外，投资者普遍存在过度自信与羊群效应等行为偏差，这些偏差进一步加剧了市场的不稳定性。本研究的创新点在于将量化分析与行为金融学视角相结合，系统性地解析了加密货币市场的复杂动态特性。研究的主要贡献包括：一是提出了适用于加密货币市场的波动预测模型，为风险管理提供了新工具；二是揭示了投资者行为对市场波动的驱动机制，丰富了行为金融学理论在新兴资产领域的应用；三是为监管机构制定相关政策提供了实证依据，有助于促进加密货币市场的健康发展。
关键词：加密货币市场；波动特征；投资者行为；行为金融学；极端值理论
Abstract
The rapid development of the cryptocurrency market has introduced new investment opportunities and challenges to the global economy, with its high volatility attracting significant academic attention to the mechanisms of market operations and investor behavior. This study aims to explore the volatility characteristics of the cryptocurrency market and their relationship with investor behavior, revealing market dynamics and providing theoretical support for investor decision-making. A multidimensional analytical approach is employed, integrating time-series models, extreme value theory, and behavioral finance theory, to model historical price data of mainstream cryptocurrencies. Additionally, psychological expectations and actual trading behaviors of investors are examined through a combination of questionnaire surveys and transaction data analysis. The results indicate that the cryptocurrency market exhibits pronounced nonlinear volatility characteristics, with market sentiment playing a crucial role in short-term price fluctuations. Furthermore, investors commonly display behavioral biases such as overconfidence and herding effects, which exacerbate market instability. The novelty of this study lies in combining quantitative analysis with a behavioral finance perspective to systematically analyze the complex dynamic properties of the cryptocurrency market. The main contributions include: first, proposing a volatility prediction model tailored for the cryptocurrency market, offering new tools for risk management; second, uncovering the mechanism by which investor behavior drives market volatility, enriching the application of behavioral finance theory in emerging asset classes; and third, providing empirical evidence for regulatory authorities to formulate relevant policies, thereby promoting the healthy development of the cryptocurrency market.
Keywords: Cryptocurrency Market; Volatility Characteristics; Investor Behavior; Behavioral Finance; Extreme Value Theory
目 录
1绪论 1
1.1加密货币市场研究的背景与意义 1
1.2国内外研究现状综述 1
1.3本文研究方法与技术路线 2
2加密货币市场的波动特征分析 2
2.1波动性的定义与测量方法 2
2.2加密货币价格波动的主要驱动因素 3
2.3不同时间尺度下的波动特征比较 3
2.4波动性与市场效率的关系探讨 4
2.5波动特征对投资者决策的影响 4
3投资者行为在加密货币市场的表现 5
3.1投资者行为的基本理论框架 5
3.2加密货币市场中的羊群效应分析 5
3.3投机行为与市场波动的相关性研究 6
3.4风险偏好对投资决策的影响机制 6
3.5投资者情绪与市场异常波动的关系 7
4波动特征与投资者行为的交互作用 7
4.1波动性对投资者行为的反馈效应 7
4.2投资者行为对市场波动的放大机制 8
4.3波动特征与行为模式的动态关联分析 8
4.4市场监管对投资者行为的影响评估 9
4.5波动与行为交互作用的实证研究 9
结论 11
参考文献 12
致 谢 13
