异质信念下的股票价格波动研究

发布时间：2018-01-20 02:46

本文关键词： 异质信念股票市场正反馈交易者动态定价 DSSW模型　出处：《哈尔滨工业大学》2014年硕士论文　论文类型：学位论文

【摘要】：经典资产定价理论模型如CAPM模型、APT模型等一直作为主流经济学研究的核心，用于分析投资者的投资行为，但是随着更深入的研究，传统资产定价理论却难以解释现实证券市场中频现的金融异象如“股权溢价之谜”“动量效应之迷”等，行为金融将人的心理行为放大并与传统金融学相结合，专门研究行为对金融市场的影响。行为金融学同时研究主观概率的形成机制，而异质性则直接假定经济参与人在主观概率赋值方面具有异质性，相互之间可能存在差异性，并以此为基础研究这种差异对资产价格的影响。本文首先界定了投资者异质性极其分类，然后分析了异质信念的传导机制，并且基于异质性后验信念对股票动态均衡价格做了研究，研究具体分为以下几个部分，第一小部分主要介绍异质信念对股票价格影响的静态模型，得出均衡价格的表达式，由于现实市场中股票价格的变动是一个动态过程，所以很有必要在静态模型的基础上引入动态模型，第二小部分主要延续静态模型的基本假设，引入投资者对t+1期价格预期偏离其基本价值的动态函数，经过一系列推导，得出动态均衡下股票价格的公式，同时，将异质性信念细分为乐观信念和悲观信念，让两种信念力量相互博弈对股票均衡价格形成的作用。同时，引入适应性交易者，更加表明了股票价格的动态变化过程。其次研究DSSW模型，DSSW有两类投资者，一类为理性交易者，也叫知情交易者，另一类为噪声交易者。DSSW模型主要对存在理性交易者、正反馈交易者以及噪声交易者的股票市场中，具体细化三者之间的关系，并细分多个投资时期，由简单到复杂，从t=0期到t=n期具体分析三者之间动态博弃的过程以及如何引起股票价格的动态变化。本文构建了多目标参数寻优模型，运用上海证券交易所综合指数收盘价计算了我国股票市场参数，，时间跨度为2008年1月1日至2013年12月31日。为了更直观地表示出股票价格的变动情况，运用仿真的方法研究了存在正反馈交易者的DSSW模型中，噪声交易者占比变化以及正反馈投资者数量的变化对股票价格波动的影响，仿真后显示，噪声交易者在市场总体交易者中的数量与股票价格呈正比例变化;正反馈交易者在噪声交易者中数量多少的变化与股票价格变动没有明显的规律。
[Abstract]:Classical asset pricing theory models such as CAPM model and apt model have been the core of mainstream economic research, which is used to analyze investors' investment behavior, but with more in-depth research. However, the traditional asset pricing theory is difficult to explain the frequent financial anomalies in the real securities market, such as "the puzzle of equity premium" and "the mystery of momentum effect". Behavioral finance amplifies the psychological behavior of human beings and combines it with traditional finance. Behavioral finance studies the formation mechanism of subjective probability, while heterogeneity directly assumes that economic participants have heterogeneity in subjective probability assignment. There may be differences between each other, and on the basis of this study on the impact of such differences on asset prices. This paper defines investor heterogeneity and its classification, then analyzes the transmission mechanism of heterogeneity belief, and studies the dynamic equilibrium price of stock based on heterogeneity posteriori belief. The research is divided into the following parts. The first part mainly introduces the static model of the influence of heterogeneous beliefs on stock price and obtains the expression of equilibrium price. Because the change of stock price in the real market is a dynamic process, it is necessary to introduce the dynamic model on the basis of static model, and the second part mainly extends the basic assumption of static model. Introducing the dynamic function that investors deviate from their basic value, the formula of stock price under dynamic equilibrium is obtained through a series of derivation. At the same time. The heterogeneity belief is divided into optimistic belief and pessimistic belief, so that the two kinds of belief forces play a role in the formation of stock equilibrium price. At the same time, adaptive traders are introduced. It also shows the dynamic change process of stock price. Secondly, there are two kinds of investors in DSSW model, one is rational trader, also known as informed trader, and the other is noise trader. DSSW model is mainly concerned with the existence of rational traders. Positive feedback traders and noise traders in the stock market, the specific refinement of the relationship between the three, and subdivision of a number of investment periods, from simple to complex. This paper analyzes the process of dynamic abandonment and how to cause the dynamic change of stock price. In this paper, a multi-objective parameter optimization model is constructed, and the stock market parameters of our country are calculated by using the closing price of Shanghai Stock Exchange Composite Index. The time span is from January 1st 2008 to December 31st 2013. In order to show the movement of stock price more intuitively. In the DSSW model with positive feedback traders, the effect of the change of the proportion of noise traders and the number of positive feedback investors on the stock price volatility is studied by simulation. The number of noise traders in the market as a whole is proportional to the stock price; The number of positive feedback traders in noise traders and the stock price change have no obvious rule.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F830.91

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