基于投资者异质性的流动性黑洞模型与实证研究

发布时间：2018-05-02 17:09

本文选题：异质性 + 流动性黑洞　；参考：《系统管理学报》2017年01期

【摘要】：基于投资者异质性构建流动性黑洞模型,分析风险中性投资者触发风险规避投资者采用正反馈交易进行止损的条件和概率,给出最优的风险规避投资者数量与风险资产价值和止损价之间的函数关系。由风险规避投资者的止损价和风险偏好投资者的买入价之间的关系,确定这两类投资者进行交易的条件。根据这两类投资者的数量对比、交易价格关系和博弈过程,给出市场均衡的条件,研究流动性黑洞的形成机理。基于非流动性和流动性风险构建流动性黑洞测度指标,通过对沪市数据的实证,发现在市场发生流动性黑洞时,正反馈交易比流动性正常情况下要强烈。由于市场缺乏异质性,造成买卖指令的严重失衡,当市场中的负反馈交易者提供的流动性远小于正反馈交易者对流动性的需求时,就会引发流动性黑洞,这与模型的逻辑关系相一致。
[Abstract]:Based on the heterogeneity of investors, a liquidity black hole model is constructed to analyze the conditions and probability of risk-neutral investors triggering risk-averse investors to use positive feedback transactions to stop losses. The optimal relationship between the number of risk-averse investors and the value of risk assets and the stop loss price is given. According to the relationship between the stop loss price of risk-averse investors and the buying price of risk preference investors, the conditions for these two types of investors to trade are determined. According to the comparison of the number of these two kinds of investors, the relation of transaction price and the process of game, the condition of market equilibrium is given, and the formation mechanism of liquidity black hole is studied. Based on illiquidity and liquidity risk, a liquidity black hole measure index is constructed. Through the empirical analysis of Shanghai stock market data, it is found that the positive feedback trading is stronger than the normal liquidity situation when the liquidity black hole occurs in the market. Due to the lack of heterogeneity in the market, the order is out of balance. When the negative feedback traders in the market provide much less liquidity than the positive feedback traders' demand for liquidity, it will lead to a liquidity black hole. This is consistent with the logical relationship of the model.
【作者单位】：上海交通大学安泰经济与管理学院;
【基金】：国家自然科学基金资助项目(71273170)
【分类号】：F832.51

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