保守性及代表性在股指期货市场中的探索性研究

发布时间：2018-04-22 18:35

本文选题：行为金融学 + 保守性　；参考：《复旦大学》2013年硕士论文

【摘要】：随着二十世纪八十年代各种非理性现象衍生出金融学中一个重要的交叉学科——行为金融学——以来,这门学科越来越受到人们的重视,而金融市场中不断涌现的不理性现象也进一步推进着它的发展。本文通过对行为金融学中由Barberis.Shleifer和Vishny提出的代表性(representativeness)和保守性(conservatism)的概念,利用贝叶斯原理构建投硬币实验。在实验过程中根据实验对象的行为表现验证了保守性与代表性的存在并且通过对实验数据的统计分析,进一步构建具有这两种特性的代理人——CR Agent. 股指期货是一类具有多种良好性质的衍生品。在我国虽然还是新生事物,但在国外资本市场多年的成功经验说明了其对金融市场无比重要的意义。本文利用CR Agent对包括我国沪深300股指期货、标准普尔500股指期货,日经225股指期货等多种的重要股指期货的探索性研究,发现具有保守性与代表性的代理人虽然并不能保证战胜市场,但是在其投资过程中有时还是会及时修正其错误,而在正确时会“坚持”自己的选择并获得较好的收益。这些良好性质对未来进一步拓展模型以及分析投资者的不理性行为模式有一定的借鉴意义。
[Abstract]:With the emergence of a variety of irrational phenomena in the 1980s, behavioral finance, an important interdisciplinary discipline in finance, has attracted more and more attention. And the irrational phenomenon that emerges constantly in the financial market also further impels its development. In this paper, the concepts of representativeness and conservatism proposed by Barberis.Shleifer and Vishny in behavioral finance are discussed, and the Bayesian principle is used to construct the coin casting experiment. In the course of experiment, the existence of conservativeness and representativeness is verified according to the behavior of the experimental subjects, and the agents with these two characteristics, CR agents, are further constructed by statistical analysis of the experimental data. Stock index futures are a kind of derivatives with many good properties. Although it is still a new thing in our country, the successful experience in foreign capital market for many years shows that it is of great significance to the financial market. In this paper, we use CR Agent to explore several important stock index futures, including CSI 300 stock index futures, S & P 500 stock index futures, Nikkei 225 stock index futures and so on. It is found that conservative and representative agents can not guarantee victory over the market, but sometimes correct their mistakes in time in the process of their investment, and will "stick to" their own choices and obtain better returns when they are right. These good properties can be used for reference to further expand the model and analyze the irrational behavior of investors in the future.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F724.5

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