基于交易者相互作用的行为金融模型

Behavior Model Based on Interaction of traders

基于股票市场的实际情况,将交易者分成具有有限理性的两类:基本分析者和动量交易者,并利用基本分析者和动量交易者的相互作用,构建了证券投资的行为金融模型。模型分析表明,基本分析者的有限理性在短期会产生反应不足,动量交易者的交易策略在长期导致反应过度。

In stock market, traders can be divided into two groups of bounded rational agents-＂ fundamental analysts＂ and ＂momentum traders＂-each of whom can only process a subset of all available information. A model is built based on the interaction of these two groups. Analytical results show that the bounded rationality of the fundamental analysts creates a tendency for prices to underreact to private information in the short run and this underreaction in turn means that momentum traders can make money by trend-chasing and lead to overreaction at the long horizons.