套利利润最大化的博弈行为

Game of maximum of arbitrage profit

从EMH的三大理论基础之一的套利者假说入手,从套利者的力量和动机两方面,对EMH提出了质疑.并且在假设套利者力量足够的前提下,用博弈模型对套利者的行为进行分析,证实了缺乏约束的套利者行为会使市场更加不稳定.

EMH theory used to be a great impetus to world finance, but it is being attacked by behavioral finance from both theory and demonstration. My work focuses on the basic assumption that arbitrageurs have their power and their motivation. Then we suppose that arbitrageurs have enough power, study their behavior with a game model, and find indulged arbitrageurs will make the market more fluctuated.