【摘要】：主流金融學(xué)的理論基礎(chǔ)是理性人假設(shè),在此基礎(chǔ)上構(gòu)建了以市場(chǎng)有效假說(shuō)、投資組合理論以及各種資產(chǎn)定價(jià)理論為框架體系的現(xiàn)代金融理論,“理性”的交易者只是這些理論成立的基本條件,而現(xiàn)實(shí)中金融“異象”對(duì)主流金融理論的合理性提出了挑戰(zhàn)。20世紀(jì)80年代以來(lái),行為金融理論的興起打開(kāi)了投資交易者行為研究的“黑箱”,交易者行為本身開(kāi)始成為研究對(duì)象,特別是噪音交易理論的提出,該理論以有限理性分析框架,很好地解釋了金融市場(chǎng)的異象。將生物演化的思想引入到證券市場(chǎng)研究中并結(jié)合噪音交易理論,視證券市場(chǎng)為一個(gè)各種交易者在特定環(huán)境下互動(dòng)博弈的演進(jìn)系統(tǒng),這樣能更好地研究分析交易者的行為過(guò)程。 本文的研究主要有以下幾個(gè)方面：首先,基于DSSW模型,利用復(fù)制動(dòng)態(tài)方程建立了證券投資者行為演化博弈模型,通過(guò)對(duì)模型的研究表明證券投資者行為的演化博弈存在多重均衡的特征,投資者行為演化博弈的路徑和最終的均衡結(jié)果受到市場(chǎng)的初始狀態(tài)以及投資者的期望收益中的相關(guān)參數(shù)影響；其次,基于DSSW模型以及“鷹鴿博弈”模型,利用復(fù)制動(dòng)態(tài)方程構(gòu)建了存在市場(chǎng)監(jiān)管的證券交易者行為演化博弈模型,最終的演化博弈仍然存在多重均衡的情況,且存在最佳的監(jiān)管力度使得市場(chǎng)處于均衡狀態(tài),此時(shí)交易者群體的平均期望收益最大；最后,基于頻率依賴的Moran過(guò)程,構(gòu)建了市場(chǎng)規(guī)模有限的證券市場(chǎng)中投資者行為的演化博弈模型,分析了市場(chǎng)的規(guī)模對(duì)演化博弈系統(tǒng)最終均衡的影響,數(shù)值模擬結(jié)果顯示：演化博弈系統(tǒng)最終的演化結(jié)果會(huì)隨著市場(chǎng)規(guī)模的大小變化而變動(dòng)。 本文的研究特色與創(chuàng)新之處主要表現(xiàn)在：①將隨機(jī)演化博弈引入到證券投資者行為的研究中,建立了基于Moran過(guò)程的證券投資者行為的演化博弈模型,分析了市場(chǎng)規(guī)模對(duì)演化博弈系統(tǒng)最終均衡的影響；②基于DSSW模型以及“鷹鴿博弈”模型,利用復(fù)制動(dòng)態(tài)方程,研究了存在市場(chǎng)監(jiān)管的交易者行為的演化博弈。本文的研究不僅為分析交易者在證券市場(chǎng)中的動(dòng)態(tài)發(fā)展規(guī)律提供了演化博弈模型和數(shù)值模擬結(jié)果,而且對(duì)存在市場(chǎng)監(jiān)管的證券交易者行為演化博弈的分析為相關(guān)部門更好地把握證券投資者行為規(guī)律、出臺(tái)合理的監(jiān)管措施提供理論參考。
[Abstract]:The theoretical foundation of mainstream finance is rational human hypothesis. On this basis, the modern financial theory based on market efficiency hypothesis, portfolio theory and various asset pricing theories is constructed, which is based on the hypothesis of market efficiency, portfolio theory and various asset pricing theories. "rational" traders are only the basic conditions for the establishment of these theories, and the reality of financial "visions" has challenged the rationality of mainstream financial theories. Since the 1980s, The rise of behavioral finance theory opened up the "black box" of investment trader behavior research, and trader behavior itself began to become the research object, especially the noise trading theory, which is based on the limited rational analysis framework. A good explanation of the financial market vision. By introducing the idea of biological evolution into the research of securities market and combining with the theory of noise trading, the security market is regarded as an evolution system of interactive game among various traders under specific circumstances, so that the behavior process of traders can be better studied and analyzed. The main contents of this paper are as follows: firstly, based on the DSSW model, the evolutionary game model of securities investors' behavior is established by using the replicating dynamic equation. Through the study of the model, it is shown that the evolutionary game of the behavior of securities investors has the characteristics of multiple equilibrium. The path of the evolutionary game of investor behavior and the final equilibrium result are affected by the initial state of the market and the relevant parameters in the expected return of the investor. Secondly, based on the DSSW model and the "hawk-pigeon game" model, the evolutionary game model of securities traders' behavior with market supervision is constructed by using the replicating dynamic equation, and the final evolutionary game still has multiple equilibrium. And there is an optimal regulatory force to make the market in a balanced state, when the average expected return of traders is the largest; Finally, based on the frequency-dependent Moran process, the evolutionary game model of investor behavior in the stock market with limited market size is constructed, and the influence of market size on the final equilibrium of evolutionary game system is analyzed. The numerical simulation results show that the final evolution results of evolutionary game system will vary with the size of the market. The main features and innovations of this paper are as follows: (1) the stochastic evolutionary game is introduced into the research of securities investor's behavior, and the evolutionary game model of securities investor's behavior based on Moran process is established. The influence of market size on the final equilibrium of evolutionary game system is analyzed. 2 based on the DSSW model and the "hawk-pigeon game" model, the evolutionary game of traders' behavior with market supervision is studied by using the replicating dynamic equation. The research in this paper not only provides the evolutionary game model and numerical simulation results for analyzing the dynamic development of traders in the securities market. Moreover, the analysis of the evolutionary game of securities traders' behavior with market supervision provides a theoretical reference for the relevant departments to better grasp the behavior laws of securities investors and introduce reasonable regulatory measures.
【學(xué)位授予單位】：鄭州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F830.91

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