基于投资者异质性的股票动态定价研究

发布时间：2018-02-25 02:26

本文关键词： 异质信念动态定价共同信息正反馈交易者均衡价格　出处：《北京交通大学》2012年硕士论文　论文类型：学位论文

【摘要】：本篇文章基于投资者的异质性对股票价格形成的过程进行动态研究,这里投资者的异质性主要是指投资者信念的异质性。文章的研究主要是基于投资者异质性对资产定价影响的三类模型：即先验信念模型、后验信念模型和DSSW模型的基础上进行了更加深入的研究。关于先验信念对资产定价影响的研究相对已经比较成熟,所以本文重点在后验信念模型即共同信息下异质性信念模型和DSSW模型的基础上进行延伸和改进,通过设定新的场景以及假设条件,经过合理的推导,得出股票均衡价格的相关公式,所以文章的重点在于公式的推导和说明。就整篇文章总体而言,文章的重点章节是第三章和第四章。文章的第三章将共同信息下异质性投资者的行为进行更加一般性的研究,建立了相关的模型,分析了由于投资者信息处理方式的异质性对股票均衡价格所造成的影响。该部分先是对异质性后验信念下股票的静态均衡模型进行推导,之后又延伸到股票的动态定价模型,经过推导分析,可以得出股票价格形成的过程是一个动态的过程,受到很多动态因素的影响。之后结合股票市场的实际情况,将异质性投资者分为基本面投资者和技术面投资者,研究了两类投资者在股票价格动态形成过程中的相互作用。文章的第四章在DSSW模型的基础上引入了正反馈交易者,研究在正反馈交易者、理性交易者和无正反馈情绪的噪声交易者共同存在的市场中股票价格形成的过程,经过一系列严密的推导,得出股票均衡价格的公式,从公式中可以直观地看出,股票均衡价格形成的过程是一个动态的过程,其后一期价格受到前一期价格的影响。为了更直观地表示出股票价格的变动情况,用matlab模拟了500期股票的价格,并具体分析了不同信念投资者比例的变化对股票价格动态变化中产生的影响。
[Abstract]:Based on the heterogeneity of investors, this paper makes a dynamic study on the process of stock price formation. Here, the heterogeneity of investors mainly refers to the heterogeneity of investors' beliefs, and the research in this paper is mainly based on three kinds of models of the influence of investor heterogeneity on asset pricing: the transcendental belief model. Based on the posteriori belief model and DSSW model, a more in-depth study is carried out. The research on the influence of priori belief on asset pricing is relatively mature, so this paper focuses on extending and improving the post-belief model, that is, heterogeneity belief model under common information and DSSW model. By setting up new scenarios and hypothetical conditions, after reasonable derivation, the relevant formula of stock equilibrium price is obtained, so the emphasis of the article is on the derivation and explanation of the formula. The key chapters of the article are Chapter 3 and Chapter 4th. In the third chapter, we make a more general study on the behavior of heterogeneous investors under common information, and establish relevant models. This paper analyzes the influence of the heterogeneity of investor information processing on the equilibrium price of stock. This part deduces the static equilibrium model of stock under heterogeneity posteriori belief, and then extends to the dynamic pricing model of stock. Through derivation and analysis, it can be concluded that the process of stock price formation is a dynamic process, which is influenced by many dynamic factors. After that, combined with the actual situation of the stock market, The heterogeneous investors are divided into fundamental investors and technical investors. The interaction between the two types of investors in the process of stock price dynamic formation is studied. Chapter 4th introduces positive feedback traders on the basis of DSSW model, and studies the process of stock price formation in the market where positive feedback traders, rational traders and noise traders with no positive feedback exist together. After a series of strict deductions, the formula of stock equilibrium price is obtained. From the formula, it can be seen intuitively that the forming process of stock equilibrium price is a dynamic process. The price of the subsequent period is influenced by the price of the previous period. In order to show the change of stock price more directly, the price of 500-issue stock is simulated with matlab. The paper also analyzes the influence of the change of the proportion of investors with different beliefs on the dynamic change of stock price.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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