發(fā)布時(shí)間：2018-02-27 18:24

  本文關(guān)鍵詞： 行為金融 股票價(jià)格 市場(chǎng)平均投資態(tài)度 羊群效應(yīng) 基礎(chǔ)交易者 技術(shù)交易者　出處：《北京交通大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：本文闡述了行為金融學(xué)的相關(guān)理論,以及在此基礎(chǔ)上建立的股票市場(chǎng)平均投資態(tài)度模型。本文對(duì)原有模型的理論基礎(chǔ)及推導(dǎo)過(guò)程進(jìn)行闡述,數(shù)值模擬出多種參數(shù)下股票市場(chǎng)的狀態(tài),并對(duì)模型的局限性進(jìn)行分析。 基于市場(chǎng)平均投資態(tài)度模型的局限性,本文從行為金融的角度引入交易者異質(zhì)性行為,并結(jié)合我國(guó)股票市場(chǎng)交易特點(diǎn),對(duì)原有的投資者態(tài)度模型進(jìn)行擴(kuò)展,建立了一個(gè)基于交易主體轉(zhuǎn)換的金融學(xué)模型,稱之為引入交易者異質(zhì)性的市場(chǎng)平均投資態(tài)度模型。該模型將所有交易主體按照兩種方式進(jìn)行劃分,一種是股票的買(mǎi)入者和賣(mài)出者,另一種是基礎(chǔ)交易者和技術(shù)交易者。在此基礎(chǔ)上市場(chǎng)均衡被定義為三個(gè)方面的均衡：股票買(mǎi)入者力量和賣(mài)出者力量的均衡；基礎(chǔ)交易者與技術(shù)交易者數(shù)量穩(wěn)定；股票市場(chǎng)價(jià)格穩(wěn)定。 對(duì)引入交易者異質(zhì)性的市場(chǎng)平均投資態(tài)度模型進(jìn)行數(shù)學(xué)建模并分析模型的穩(wěn)定性,在市場(chǎng)達(dá)到穩(wěn)定狀態(tài)下設(shè)置參數(shù)變量的初始值并應(yīng)用matlab軟件進(jìn)行數(shù)值模擬,得出不同參數(shù)取值時(shí)股票價(jià)格的時(shí)間序列圖,通過(guò)分析得到以下結(jié)論。首先,在一定的范圍內(nèi),隨著羊群效應(yīng)的加強(qiáng),股票價(jià)格收斂到其基礎(chǔ)價(jià)值的速度是減慢的,而超過(guò)一個(gè)臨界點(diǎn),股票價(jià)格不再收斂,甚至發(fā)散。其次,在系統(tǒng)穩(wěn)定范圍內(nèi),股票價(jià)格偏離基礎(chǔ)價(jià)值時(shí)交易者越敏感,市場(chǎng)的理性程度就越低。再次,股票市場(chǎng)價(jià)格回歸到其基礎(chǔ)價(jià)值的路徑受市場(chǎng)平均投資態(tài)度初始狀態(tài)的影響。最后,當(dāng)市場(chǎng)上買(mǎi)者和賣(mài)者之間相互轉(zhuǎn)換的速度不同時(shí),股票價(jià)格收斂的數(shù)值會(huì)偏離其基礎(chǔ)價(jià)值。結(jié)果表明新建模型具有原模型相關(guān)性質(zhì),并能夠分析交易者理性程度及轉(zhuǎn)換概率的變化如何對(duì)股票市場(chǎng)產(chǎn)生影響。
[Abstract]:This paper expounds the related theories of behavioral finance and the average investment attitude model of stock market based on it. The theoretical basis and derivation process of the original model are expounded in this paper. The state of the stock market under various parameters is numerically simulated, and the limitations of the model are analyzed. Based on the limitation of the market average investment attitude model, this paper introduces the heterogeneous behavior of traders from the perspective of behavioral finance, and extends the original investor attitude model according to the trading characteristics of China's stock market. In this paper, a financial model based on the transformation of trading agents is established, which is called the market average investment attitude model which introduces the heterogeneity of traders, which divides all trading agents into two ways. One is the buyers and sellers of stocks, the other is the basic traders and technical traders. On this basis, the market equilibrium is defined as the equilibrium in three aspects: the equilibrium of the strength of the stock buyer and the power of the seller; The number of basic traders and technical traders is stable; the stock market price is stable. The market average investment attitude model with traders' heterogeneity is modeled and the stability of the model is analyzed. The initial value of parameter variables is set up when the market reaches the stable state and the numerical simulation is carried out by using matlab software. The time series diagram of stock price with different parameters is obtained, and the following conclusions are obtained through analysis. Firstly, in a certain range, with the enhancement of herding effect, the speed of stock price converging to its basic value is slowed down. And above a critical point, stock prices no longer converge or even diverge. Secondly, within a stable range of systems, the more sensitive a trader is when a stock price deviates from the underlying value, the less rational the market becomes. The path of stock market price returning to its basic value is affected by the initial state of the average investment attitude of the market. Finally, when the rate of conversion between buyers and sellers in the market is different, The results show that the new model has the property of correlation with the original model and can analyze how the change of traders' rationality and transition probability affects the stock market.
【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】：2014
【分類(lèi)號(hào)】：F830.91;F224

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