基于交易者异质行为的股票价格研究

发布时间：2018-02-27 18:24

本文关键词： 行为金融股票价格市场平均投资态度羊群效应基础交易者技术交易者　出处：《北京交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文阐述了行为金融学的相关理论,以及在此基础上建立的股票市场平均投资态度模型。本文对原有模型的理论基础及推导过程进行阐述,数值模拟出多种参数下股票市场的状态,并对模型的局限性进行分析。基于市场平均投资态度模型的局限性,本文从行为金融的角度引入交易者异质性行为,并结合我国股票市场交易特点,对原有的投资者态度模型进行扩展,建立了一个基于交易主体转换的金融学模型,称之为引入交易者异质性的市场平均投资态度模型。该模型将所有交易主体按照两种方式进行划分,一种是股票的买入者和卖出者,另一种是基础交易者和技术交易者。在此基础上市场均衡被定义为三个方面的均衡：股票买入者力量和卖出者力量的均衡；基础交易者与技术交易者数量稳定；股票市场价格稳定。对引入交易者异质性的市场平均投资态度模型进行数学建模并分析模型的稳定性,在市场达到稳定状态下设置参数变量的初始值并应用matlab软件进行数值模拟,得出不同参数取值时股票价格的时间序列图,通过分析得到以下结论。首先,在一定的范围内,随着羊群效应的加强,股票价格收敛到其基础价值的速度是减慢的,而超过一个临界点,股票价格不再收敛,甚至发散。其次,在系统稳定范围内,股票价格偏离基础价值时交易者越敏感,市场的理性程度就越低。再次,股票市场价格回归到其基础价值的路径受市场平均投资态度初始状态的影响。最后,当市场上买者和卖者之间相互转换的速度不同时,股票价格收敛的数值会偏离其基础价值。结果表明新建模型具有原模型相关性质,并能够分析交易者理性程度及转换概率的变化如何对股票市场产生影响。
[Abstract]:This paper expounds the related theories of behavioral finance and the average investment attitude model of stock market based on it. The theoretical basis and derivation process of the original model are expounded in this paper. The state of the stock market under various parameters is numerically simulated, and the limitations of the model are analyzed. Based on the limitation of the market average investment attitude model, this paper introduces the heterogeneous behavior of traders from the perspective of behavioral finance, and extends the original investor attitude model according to the trading characteristics of China's stock market. In this paper, a financial model based on the transformation of trading agents is established, which is called the market average investment attitude model which introduces the heterogeneity of traders, which divides all trading agents into two ways. One is the buyers and sellers of stocks, the other is the basic traders and technical traders. On this basis, the market equilibrium is defined as the equilibrium in three aspects: the equilibrium of the strength of the stock buyer and the power of the seller; The number of basic traders and technical traders is stable; the stock market price is stable. The market average investment attitude model with traders' heterogeneity is modeled and the stability of the model is analyzed. The initial value of parameter variables is set up when the market reaches the stable state and the numerical simulation is carried out by using matlab software. The time series diagram of stock price with different parameters is obtained, and the following conclusions are obtained through analysis. Firstly, in a certain range, with the enhancement of herding effect, the speed of stock price converging to its basic value is slowed down. And above a critical point, stock prices no longer converge or even diverge. Secondly, within a stable range of systems, the more sensitive a trader is when a stock price deviates from the underlying value, the less rational the market becomes. The path of stock market price returning to its basic value is affected by the initial state of the average investment attitude of the market. Finally, when the rate of conversion between buyers and sellers in the market is different, The results show that the new model has the property of correlation with the original model and can analyze how the change of traders' rationality and transition probability affects the stock market.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.91;F224

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