基于交易者网络的证券市场传闻扩散博弈分析

发布时间：2018-05-21 01:42

本文选题：交易者网络 + 博弈　；参考：《经济管理》2011年09期

【摘要】：证券市场传闻的真正价值在于其在交易者之间的扩散,但是扩散过程依赖于扩散规则与路径选择。扩散规则与交易者对待市场传闻的态度有关,路径选择与交易者之间的关系有关,交易者之间的社会关系形成了交易者网络。本文首先基于交易者的态度和交易者网络结构,提出了市场传闻扩散的一对多博弈模型,并求解出了Nash均衡解。Nash均衡表明,知情者采取扩散策略的概率与不知情者的接受成本和拒绝代价之差成正比;不知情者采取接受策略的概率不但与知情者的封锁成本成正比,而且与网络的平均度成正比;然后,基于马尔科夫链的吸收态,本文分析发现,市场传闻在交易者网络上的扩散步数与网络的平均邻接不知情者的数目成反比。最后,本文分析了交易者网络的复杂性特征对市场传闻扩散的影响。
[Abstract]:The real value of stock market hearsay lies in its diffusion among traders, but the diffusion process depends on the diffusion rules and path choices. Diffusion rules are related to traders' attitude to market hearsay, path selection is related to the relationship between traders, and the relationship between traders forms a trader's network. In this paper, based on the attitude of traders and the network structure of traders, a one-to-many game model of market hearsay diffusion is proposed, and the solution of Nash equilibrium. Nash equilibrium is obtained. The probability of an informed person adopting a proliferation strategy is proportional to the difference between the cost of acceptance and the cost of rejection of an uninformed person; the probability of an uninformed person adopting a strategy of acceptance is proportional not only to the cost of the blockade of the informant, but also to the average degree of the network; then, Based on the absorption state of Markov chain, it is found that the number of diffusion steps of market hearsay in traders' networks is inversely proportional to the average number of uninformed persons adjacent to the network. Finally, this paper analyzes the influence of the complexity of traders' network on the diffusion of market hearsay.
【作者单位】：南京航空航天大学经济与管理学院;山东轻工业学院经济管理学院;
【分类号】：F224.32;F830.91

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