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基于主体的金融市场超额波动性的模拟研究

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摘要 文章采用基于主体建模的方法对金融市场的超额波动性进行了模拟与分析。模拟结果表明,有限理性投资者能使市场产生超额波动,且损失厌恶型投资者的比例越高,超额波动比率越高。趋势跟踪者会大幅度提高超额波动性,并因此导致市场出现明显的泡沫:完全的随机行为交易者却对市场具有一定的缓和作用。
作者 钱燕翔
出处 《统计与决策》 CSSCI 北大核心 2009年第1期35-36,共2页 Statistics & Decision
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参考文献8

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