本文關(guān)鍵詞： 異質(zhì)信念 動(dòng)態(tài)定價(jià) 共同信息 正反饋交易者 均衡價(jià)格　出處：《北京交通大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：本篇文章基于投資者的異質(zhì)性對(duì)股票價(jià)格形成的過程進(jìn)行動(dòng)態(tài)研究,這里投資者的異質(zhì)性主要是指投資者信念的異質(zhì)性。文章的研究主要是基于投資者異質(zhì)性對(duì)資產(chǎn)定價(jià)影響的三類模型：即先驗(yàn)信念模型、后驗(yàn)信念模型和DSSW模型的基礎(chǔ)上進(jìn)行了更加深入的研究。 關(guān)于先驗(yàn)信念對(duì)資產(chǎn)定價(jià)影響的研究相對(duì)已經(jīng)比較成熟,所以本文重點(diǎn)在后驗(yàn)信念模型即共同信息下異質(zhì)性信念模型和DSSW模型的基礎(chǔ)上進(jìn)行延伸和改進(jìn),通過設(shè)定新的場景以及假設(shè)條件,經(jīng)過合理的推導(dǎo),得出股票均衡價(jià)格的相關(guān)公式,所以文章的重點(diǎn)在于公式的推導(dǎo)和說明。就整篇文章總體而言,文章的重點(diǎn)章節(jié)是第三章和第四章。 文章的第三章將共同信息下異質(zhì)性投資者的行為進(jìn)行更加一般性的研究,建立了相關(guān)的模型,分析了由于投資者信息處理方式的異質(zhì)性對(duì)股票均衡價(jià)格所造成的影響。該部分先是對(duì)異質(zhì)性后驗(yàn)信念下股票的靜態(tài)均衡模型進(jìn)行推導(dǎo),之后又延伸到股票的動(dòng)態(tài)定價(jià)模型,經(jīng)過推導(dǎo)分析,可以得出股票價(jià)格形成的過程是一個(gè)動(dòng)態(tài)的過程,受到很多動(dòng)態(tài)因素的影響。之后結(jié)合股票市場的實(shí)際情況,將異質(zhì)性投資者分為基本面投資者和技術(shù)面投資者,研究了兩類投資者在股票價(jià)格動(dòng)態(tài)形成過程中的相互作用。 文章的第四章在DSSW模型的基礎(chǔ)上引入了正反饋交易者,研究在正反饋交易者、理性交易者和無正反饋情緒的噪聲交易者共同存在的市場中股票價(jià)格形成的過程,經(jīng)過一系列嚴(yán)密的推導(dǎo),得出股票均衡價(jià)格的公式,從公式中可以直觀地看出,股票均衡價(jià)格形成的過程是一個(gè)動(dòng)態(tài)的過程,其后一期價(jià)格受到前一期價(jià)格的影響。為了更直觀地表示出股票價(jià)格的變動(dòng)情況,用matlab模擬了500期股票的價(jià)格,并具體分析了不同信念投資者比例的變化對(duì)股票價(jià)格動(dòng)態(tài)變化中產(chǎn)生的影響。
[Abstract]:Based on the heterogeneity of investors, this paper makes a dynamic study on the process of stock price formation. Here, the heterogeneity of investors mainly refers to the heterogeneity of investors' beliefs, and the research in this paper is mainly based on three kinds of models of the influence of investor heterogeneity on asset pricing: the transcendental belief model. Based on the posteriori belief model and DSSW model, a more in-depth study is carried out. The research on the influence of priori belief on asset pricing is relatively mature, so this paper focuses on extending and improving the post-belief model, that is, heterogeneity belief model under common information and DSSW model. By setting up new scenarios and hypothetical conditions, after reasonable derivation, the relevant formula of stock equilibrium price is obtained, so the emphasis of the article is on the derivation and explanation of the formula. The key chapters of the article are Chapter 3 and Chapter 4th. In the third chapter, we make a more general study on the behavior of heterogeneous investors under common information, and establish relevant models. This paper analyzes the influence of the heterogeneity of investor information processing on the equilibrium price of stock. This part deduces the static equilibrium model of stock under heterogeneity posteriori belief, and then extends to the dynamic pricing model of stock. Through derivation and analysis, it can be concluded that the process of stock price formation is a dynamic process, which is influenced by many dynamic factors. After that, combined with the actual situation of the stock market, The heterogeneous investors are divided into fundamental investors and technical investors. The interaction between the two types of investors in the process of stock price dynamic formation is studied. Chapter 4th introduces positive feedback traders on the basis of DSSW model, and studies the process of stock price formation in the market where positive feedback traders, rational traders and noise traders with no positive feedback exist together. After a series of strict deductions, the formula of stock equilibrium price is obtained. From the formula, it can be seen intuitively that the forming process of stock equilibrium price is a dynamic process. The price of the subsequent period is influenced by the price of the previous period. In order to show the change of stock price more directly, the price of 500-issue stock is simulated with matlab. The paper also analyzes the influence of the change of the proportion of investors with different beliefs on the dynamic change of stock price.
【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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