基于行为金融的有限套利模型

A Limit Arbitrage Model Based on Behavior Finance

本文基于行为金融理论,从投资者的行为特征入手,将市场中的交易者分为价值交易者、趋势交易者、资金受限的套利者3大类,同时考虑了过度反应、趋势交易的非理性行为,以及套利者资金受限的情况,使有限套利模型更接近真实市场行为。通过分析模型的数值结果发现,套利者能从投资者的非理性行为中获得套利收益。但是趋势交易者的存在可能使套利者不愿意在套利机会出现时立即套利,甚至在一定的条件下套利者会采取加大市场波动的操作来获得更大的总收益。可见减少趋势交易者的非理性程度对维护市场稳定有非常重要的意义。

Based on the perspective of behavior finance, this paper stans from the investors＇ behavioral characteristics and divides the investors into three group： the tendency traders, value traders, and arbitrageur. Since the over-reaction, tendency trade and the limitation of the arbitrage fund are all considered, the limit arbitrage model becomes more closer to the real market. From the numerical solution, we find that arhitrageur can obtain arbitrage earnings from the irrational traders＇ behave. However, the existence of the tendency traders make the arbitrage behave not timely, even that the arbitrageurs make larger fluctuation to get more total earnings. It can clearly be seen that reducing the degree of the irrationality of tendency traders is very important to maintain market stability.