信息熵理论与行为金融学

信息熵理论提供了解释金融市场中投资者行为的基础。信息论中最基本的观点是信息是有成本的。另一个观点是可获得的信息价值就是信息不确定性减少的量 ,这个量是由信源和接受者之间的相关性决定的。一般地 ,获得信息的多少取决于接受者的知识背景。由于投资者支付信息的成本不同和知识背景不同 ,导致投资者处理信息存在差异性 ,这是金融市场中出现价量模型的主要原因。行为金融学中的许多模型都可以由信息熵理论来解释。

The entropy theory of information provides the foundation to understand investors behavior in the financial market. One fundamental result from the information theory is that information is costly. Another fundamental result is the amount of information one can receive is the amount of information generated minus equivocation. The level of equivocation is determined by the correlation between the source of information and the receiver of information. In general, how much information one can receive depends on the background knowledge of the receiver. The difference in cost investors are pay for information and the difference in background knowledge about the information causes the heterogeneity in information processing, which is the main reason of the price and volume patterns observed in the financial market. Many models on behavioral finance can be understood from the entropy theory of information.