本文關鍵詞： 異質信念 股票市場 正反饋交易者 動態(tài)定價 DSSW模型　出處：《哈爾濱工業(yè)大學》2014年碩士論文　論文類型：學位論文

【摘要】：經典資產定價理論模型如CAPM模型、APT模型等一直作為主流經濟學研究的核心，用于分析投資者的投資行為，但是隨著更深入的研究，傳統(tǒng)資產定價理論卻難以解釋現實證券市場中頻現的金融異象如“股權溢價之謎”“動量效應之迷”等，行為金融將人的心理行為放大并與傳統(tǒng)金融學相結合，專門研究行為對金融市場的影響。行為金融學同時研究主觀概率的形成機制，而異質性則直接假定經濟參與人在主觀概率賦值方面具有異質性，相互之間可能存在差異性，并以此為基礎研究這種差異對資產價格的影響。 本文首先界定了投資者異質性極其分類，然后分析了異質信念的傳導機制，并且基于異質性后驗信念對股票動態(tài)均衡價格做了研究，研究具體分為以下幾個部分，第一小部分主要介紹異質信念對股票價格影響的靜態(tài)模型，得出均衡價格的表達式，由于現實市場中股票價格的變動是一個動態(tài)過程，所以很有必要在靜態(tài)模型的基礎上引入動態(tài)模型，第二小部分主要延續(xù)靜態(tài)模型的基本假設，引入投資者對t+1期價格預期偏離其基本價值的動態(tài)函數，經過一系列推導，得出動態(tài)均衡下股票價格的公式，同時，將異質性信念細分為樂觀信念和悲觀信念，讓兩種信念力量相互博弈對股票均衡價格形成的作用。同時，引入適應性交易者，更加表明了股票價格的動態(tài)變化過程。 其次研究DSSW模型，DSSW有兩類投資者，一類為理性交易者，也叫知情交易者，另一類為噪聲交易者。DSSW模型主要對存在理性交易者、正反饋交易者以及噪聲交易者的股票市場中，具體細化三者之間的關系，并細分多個投資時期，由簡單到復雜，從t=0期到t=n期具體分析三者之間動態(tài)博棄的過程以及如何引起股票價格的動態(tài)變化。 本文構建了多目標參數尋優(yōu)模型，運用上海證券交易所綜合指數收盤價計算了我國股票市場參數，，時間跨度為2008年1月1日至2013年12月31日。為了更直觀地表示出股票價格的變動情況，運用仿真的方法研究了存在正反饋交易者的DSSW模型中，噪聲交易者占比變化以及正反饋投資者數量的變化對股票價格波動的影響，仿真后顯示，噪聲交易者在市場總體交易者中的數量與股票價格呈正比例變化;正反饋交易者在噪聲交易者中數量多少的變化與股票價格變動沒有明顯的規(guī)律。
[Abstract]:Classical asset pricing theory models such as CAPM model and apt model have been the core of mainstream economic research, which is used to analyze investors' investment behavior, but with more in-depth research. However, the traditional asset pricing theory is difficult to explain the frequent financial anomalies in the real securities market, such as "the puzzle of equity premium" and "the mystery of momentum effect". Behavioral finance amplifies the psychological behavior of human beings and combines it with traditional finance. Behavioral finance studies the formation mechanism of subjective probability, while heterogeneity directly assumes that economic participants have heterogeneity in subjective probability assignment. There may be differences between each other, and on the basis of this study on the impact of such differences on asset prices. This paper defines investor heterogeneity and its classification, then analyzes the transmission mechanism of heterogeneity belief, and studies the dynamic equilibrium price of stock based on heterogeneity posteriori belief. The research is divided into the following parts. The first part mainly introduces the static model of the influence of heterogeneous beliefs on stock price and obtains the expression of equilibrium price. Because the change of stock price in the real market is a dynamic process, it is necessary to introduce the dynamic model on the basis of static model, and the second part mainly extends the basic assumption of static model. Introducing the dynamic function that investors deviate from their basic value, the formula of stock price under dynamic equilibrium is obtained through a series of derivation. At the same time. The heterogeneity belief is divided into optimistic belief and pessimistic belief, so that the two kinds of belief forces play a role in the formation of stock equilibrium price. At the same time, adaptive traders are introduced. It also shows the dynamic change process of stock price. Secondly, there are two kinds of investors in DSSW model, one is rational trader, also known as informed trader, and the other is noise trader. DSSW model is mainly concerned with the existence of rational traders. Positive feedback traders and noise traders in the stock market, the specific refinement of the relationship between the three, and subdivision of a number of investment periods, from simple to complex. This paper analyzes the process of dynamic abandonment and how to cause the dynamic change of stock price. In this paper, a multi-objective parameter optimization model is constructed, and the stock market parameters of our country are calculated by using the closing price of Shanghai Stock Exchange Composite Index. The time span is from January 1st 2008 to December 31st 2013. In order to show the movement of stock price more intuitively. In the DSSW model with positive feedback traders, the effect of the change of the proportion of noise traders and the number of positive feedback investors on the stock price volatility is studied by simulation. The number of noise traders in the market as a whole is proportional to the stock price; The number of positive feedback traders in noise traders and the stock price change have no obvious rule.
【學位授予單位】：哈爾濱工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F830.91

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