基于生灭过程的证券市场演化模型

发布时间：2018-01-12 10:26

本文关键词：基于生灭过程的证券市场演化模型　出处：《中国管理科学》2011年03期 　论文类型：期刊论文

【摘要】：Friedman等人认为通过市场机制,证券市场能够在长期消除非理性交易者。为了对这个观点进行严格的定量分析,本文提出了一个应用生灭过程研究非理性交易者和理性交易者共存的证券市场演化模型,用生灭过程刻画理性交易者和非理性交易者在证券市场中增减变化的动态规律。结论表明非理性交易者即使平均而言是亏损的,他们也未必在证券市场中消失,非理性交易者在市场中的生存与消亡取决于其初始财富、其进入市场的速率以及其交易的盈亏情况等多种因素。
[Abstract]:Friedman et al. believe that through the market mechanism, the securities market can eliminate irrational traders in the long run. In order to carry out a strict quantitative analysis of this view. In this paper, an evolutionary model of securities market is proposed to study the coexistence of irrational traders and rational traders by means of birth and death processes. Using birth and death process to describe the dynamic law of the changes of rational and irrational traders in the securities market. The conclusion shows that the irrational traders are not necessarily disappeared in the securities market even if they are losses on average. The survival and extinction of irrational traders in the market depend on their initial wealth, the rate of entering the market and the profit and loss of their trading.
【作者单位】：中原工学院;郑州大学商学院;
【基金】：国家自然科学基金项目(70572050,70771102)
【分类号】：F830.9;F224
【正文快照】： 1引言对于非理性交易者的交易行为,市场有效性理论对其有三个逐渐放宽的假定:最强的假定是所有投资者都是理性的,能够对证券的价格做出合理的评估;其次,即使一部分投资者不是完全理性的,但由于他们的交易行为是随机的,所以他们对证券市场的影响会相互抵消,从而理性预期仍然是

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