市场操纵与噪声交易

发布时间：2018-06-02 11:56

  本文选题：市场操纵 + 噪声交易　； 参考：《系统工程理论与实践》2017年03期

【摘要】：基于DSSW模型的非有效市场构架,在信息市场操纵和社交网络的环境下,内生化情绪噪声交易者的投资决策,给出并分析跟随者与噪声交易者之间的均衡.结论显示:知情交易者操纵市场会增加价格的信息含量;非知情交易者操纵市场给价格带来噪声,价格的信息含量先增后减.适度悲观情绪是导致噪声交易者跟随交易的充分条件.此外,市场可能收敛到无噪声交易者、无跟随交易者、或噪声交易者和跟随交易者共存三种均衡状态.
[Abstract]:Based on the non-efficient market framework of DSSW model, under the environment of information market manipulation and social network, the investment decision of endogenous emotional noise traders is given and analyzed, and the equilibrium between follower and noise trader is given and analyzed. The results show that informed traders manipulate the market will increase the information content of the price, the uninformed traders manipulate the market to bring noise to the price, and the information content of the price increases first and then decreases. Moderate pessimism is a sufficient condition for noise traders to follow the trading. In addition, the market may converge to three equilibrium states: noise-free trader, non-follower trader, or noise-trader and follower.
【作者单位】： 北京航空航天大学经济管理学院;北京化工大学经济管理学院;鲁东大学商学院;
【基金】：国家自然科学基金(71371023,71371024)~~
【分类号】：B84-05;F831.51
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本文编号：1968674