基于不完全理性学习的资产价格行为分析

利用不完全理性学习理论分析了过度反应与反应不足、乐观与悲观情绪等不完全理性交易行为对金融资产短期价格行为的影响并建立了相应的数学模型。通过对模型仿真结果的比较分析得知,金融市场上即便信息是对称的,但若交易者采用不完全理性的交易策略,那么金融资产短期价格行为与交易者完全理性情形下的短期价格行为有显著的差异;不完全理性交易行为情形下的金融资产的短期价格波动较大。

Analysis of Asset's Price Behavior Based on Irrational Learning

This paper sets up a model to examine how the irrational trading behavior such as overreaction and underreaction, optimism and pessimism significantly affects the short price behavior of financial asset. The comparative analysis of the simulated results indicates that even if the information in financial market is symmetric, the financial asset short-term price behavior is significantly different when a greater proportion of irrational traders exist in the market. The financial asset short-term price is more volatile when the irrational trading behavior is more serious.