随机交易行为、羊群行为与资产价格波动研究
发布时间：2018-08-17 08:34
【摘要】：市场中交易者的随机交易行为与羊群行为和均值回归行为相互影响,并改变资产价格波动状态,但已有研究主要分析羊群行为和均值回归行为对资产价格波动的影响,对随机交易行为的研究较少。基于行为金融理论,引入随机交易者,扩展已有的非线性资产价格动态波动模型,研究随机交易行为与羊群行为、均值回归行为的交互作用及其对资产价格波动的影响,剖析资产价格的形成路径,并构建模型,进而分析金融系统的均衡点特征和稳定性,最终利用MATLAB对资产价格波动进行数值模拟检验。研究结果表明,市场中随机交易行为的存在导致资产价格不能收敛到资产的基本价值,只能收敛于偏离资产基本价值的一个均衡价格;当金融系统处于局部稳定状态时,均值回归交易程度与随机交易程度成正比,羊群行为的稳定范围与随机交易程度成正比、与均值回归交易程度成反比,且资产价格会以螺旋阻尼振荡走势收敛于资产的均衡价格;金融系统不处于局部稳定状态的两种状况,一是资产价格处于围绕资产均衡价格上下微幅周期震荡的稳定状态,二是资产价格波动幅度变大而处于的不稳定状态;随着市场中随机交易程度的逐步增大,资产均衡价格偏离其基本价值的幅度越大。研究结果揭示了3种交易者行为与资产价格波动间的关系机理,完善了行为金融理论体系,并为政府部门稳定金融市场提出可供参考的建议,即培养交易者的价值投资理念,减少投机行为,防止信息不对称导致的羊群行为。
[Abstract]:The random trading behavior of traders in the market interacts with herding behavior and mean regression behavior, and changes the fluctuation state of asset price. However, some studies have mainly analyzed the influence of herd behavior and mean regression behavior on asset price volatility. There is little research on stochastic trading behavior. Based on behavioral finance theory, this paper introduces stochastic traders, extends the existing nonlinear asset price dynamic volatility model, studies the interaction between stochastic trading behavior and herd behavior, mean regression behavior and its influence on asset price volatility. The formation path of asset price is analyzed, and the model is constructed, and then the equilibrium point characteristics and stability of financial system are analyzed. Finally, MATLAB is used to test the fluctuation of asset price. The results show that the existence of stochastic trading behavior in the market results in the asset price not converging to the basic value of the asset, but only converging to the equilibrium price which deviates from the basic value of the asset, and when the financial system is in a locally stable state, The degree of average regression trading is proportional to the degree of random trading, the stable range of herd behavior is proportional to the degree of random trading, and the degree of average regression is inversely proportional to the degree of transaction. The asset price will converge to the equilibrium price of the asset with a spiral damping oscillation. The two conditions in which the financial system is not in a local stable state, one is that the asset price is in a stable state with a slight periodic oscillation around the asset equilibrium price. The other is the unstable state in which the fluctuation range of asset price becomes larger and the extent of asset equilibrium price deviating from its basic value increases gradually with the increase of random trading degree in the market. The results reveal the relationship mechanism between three kinds of traders' behavior and the fluctuation of asset price, perfect the behavioral financial theory system, and put forward some suggestions for the government to stabilize the financial market, that is, to train the traders' idea of value investment. Reduce speculative behavior and prevent herding behavior caused by asymmetric information.
【作者单位】： 西安理工大学经济与管理学院;
【基金】：国家自然科学基金(71373204) 陕西省教育厅哲学社会科学重点研究基地科学研究计划资助项目(13JZ036) 陕西省普通高校重点学科专项资金建设资助项目(107-5X1302)~~
【分类号】：F830
[Abstract]:The random trading behavior of traders in the market interacts with herding behavior and mean regression behavior, and changes the fluctuation state of asset price. However, some studies have mainly analyzed the influence of herd behavior and mean regression behavior on asset price volatility. There is little research on stochastic trading behavior. Based on behavioral finance theory, this paper introduces stochastic traders, extends the existing nonlinear asset price dynamic volatility model, studies the interaction between stochastic trading behavior and herd behavior, mean regression behavior and its influence on asset price volatility. The formation path of asset price is analyzed, and the model is constructed, and then the equilibrium point characteristics and stability of financial system are analyzed. Finally, MATLAB is used to test the fluctuation of asset price. The results show that the existence of stochastic trading behavior in the market results in the asset price not converging to the basic value of the asset, but only converging to the equilibrium price which deviates from the basic value of the asset, and when the financial system is in a locally stable state, The degree of average regression trading is proportional to the degree of random trading, the stable range of herd behavior is proportional to the degree of random trading, and the degree of average regression is inversely proportional to the degree of transaction. The asset price will converge to the equilibrium price of the asset with a spiral damping oscillation. The two conditions in which the financial system is not in a local stable state, one is that the asset price is in a stable state with a slight periodic oscillation around the asset equilibrium price. The other is the unstable state in which the fluctuation range of asset price becomes larger and the extent of asset equilibrium price deviating from its basic value increases gradually with the increase of random trading degree in the market. The results reveal the relationship mechanism between three kinds of traders' behavior and the fluctuation of asset price, perfect the behavioral financial theory system, and put forward some suggestions for the government to stabilize the financial market, that is, to train the traders' idea of value investment. Reduce speculative behavior and prevent herding behavior caused by asymmetric information.
【作者单位】： 西安理工大学经济与管理学院;
【基金】：国家自然科学基金(71373204) 陕西省教育厅哲学社会科学重点研究基地科学研究计划资助项目(13JZ036) 陕西省普通高校重点学科专项资金建设资助项目(107-5X1302)~~
【分类号】：F830
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