基于计算实验方法的我国投资基金有限套利行为研究

发布时间：2018-11-21 14:33

【摘要】：有限套利理论,作为行为金融学两大基石之一,能够较为合理的解释证券市场资产价格长期偏离其基础价值这一异象。正确把握套利风险和有限问题形成原因将有助于我们优化投资策略和改进市场效率。目前针对有限套利问题的研究大多集中于理论推理或是基于数理模型对金融市场套利风险和局限性进行分析。文章首先总结了有限套利形成原因的相关理论,并基于DSSW模型构建委托代理环境下套利者、噪音交易者和投资者(委托人)三者之间的博弈关系。随后应用计算实验金融的方法,基于Netlogo平台,构建包含以上三种交易者的人工股票市场,对不同投资者最优策略选择和交易机制进行了仿真,从微观角度对投资基金有限套利行为进行分析。实验研究显示了很多重要结论：首先,噪音交易者可以在市场中长期生存下去,且获得稳定的收益。其次,委托代理框架下的业绩导向型套利与无委托代理时的套利相比具有如下特征：第一,套利者收益减少,噪音交易者收益增加,且平均收益超过投资者；第二,股价偏离基础价值更远,且波动性增强；第三,噪音交易者初始冲击越大,套利者反击价格偏差的能力就越差,极端情况下,该市场会完全失去弹性,此时套利者的行动在助推股价回归基础价值方面显得非常无效；第四,投资者对套利者业绩的敏感度越高,套利者所受到的约束越大,股价向基础价值回归的难度就越大。这些因素都将造成投资基金套利行为受限,导致市场价格缺乏有效性,继而导致市场效率低下。
[Abstract]:As one of the two cornerstones of behavioral finance, the theory of finite arbitrage can reasonably explain the anomaly that the asset price of securities market deviates from its fundamental value for a long time. Correctly understanding the causes of arbitrage risk and limited problems will help us to optimize investment strategy and improve market efficiency. At present, most of the researches on the problem of limited arbitrage are focused on theoretical reasoning or mathematical model to analyze the risk and limitation of arbitrage in financial market. This paper first summarizes the relevant theories of the formation of limited arbitrage, and constructs the game relationship among arbitrageurs, noise traders and investors (principal) based on the DSSW model in the principal-agent environment. Then the artificial stock market including the above three kinds of traders is constructed based on the Netlogo platform with the method of computational experimental finance. The optimal strategy selection and trading mechanism of different investors are simulated. This paper analyzes the limited arbitrage behavior of investment funds from the micro point of view. Experimental studies show many important conclusions: first, noise traders can survive in the market for a long time and gain stable returns. Secondly, the performance-oriented arbitrage under the principal-agent framework has the following characteristics: first, the arbitrage returns decrease, the noise trader returns increase, and the average return exceeds that of the investors; Second, the stock price deviates further from the base value, and the volatility increases; Third, the greater the initial impact of noise traders, the worse the arbitrage's ability to counter the price deviation. In extreme cases, the market will lose its elasticity completely. At this time, the arbitrage's action is very ineffective in helping the stock price to return to the basic value. Fourth, the higher the sensitivity of investors to arbitrage performance, the greater the constraint on arbitrage, and the more difficult it is for the stock price to return to basic value. These factors will result in limited arbitrage behavior of investment funds, resulting in market price ineffectiveness, which will lead to market inefficiency.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

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