投机泡沫的混合理性正反馈模型

本文根据历史泡沫事件的特征,提出了一个投机泡沫的混合理性模型。模型以正反馈交易为核心,根据投资策略将交易者分为信息交易者(包括轻信者和保守者)和正反馈交易者,且投资者均具有混合理性。模型显示,当投资者间出现行为交互时,资产价格有可能在利好消息下产生泡沫。本文讨论了市场机制因素和投资者心理因素对模型参数的影响,指出政府干预市场的措施会通过投资者心理产生作用,并对政府的托市和抑市政策提出了建议。

Based on characteristics of historical bubble events, this paper presents a hybrid-rational model of speculative bubbles.The model focuses on positive feedback trading, and classifies traders into information-based inyestors （credulous investors and conservative investors） and positive feedback traders, in which each type of traders are hybrid-rational, i.e. ,can be both rational and irrational.The model shows a bubble may occur when the investors＇ interaction is influenced by optimistic news.The paper also discusses the determinants of model parameters from the aspects of market mechanism and investor psychology, and points out the government intervention may influence investor psychology as well as market mechanism.The paper finally offers some suggestions on government policies.