过度自信心理影响期货价格的数理模型分析

A Mathematical Model of the Overconfidence Psychology in the Futures Market

过度自信心理是金融市场中投资者的一种非理性心理,对金融产品价格有重要影响。本文结合期货市场的特征,建立了过度自信心理影响期货价格的数理模型。通过模型分析表明,过度自信心理会造成过度自信投机者和套利者合约交易量的增加,投机者和套利者的过度自信程度会影响期货均衡价格的走向,同时,过度自信会平抑由噪声交易造成的价格波动。最后,本文利用模拟的方法验证了上述结论。

The overconfidence psychology is one of the unreasonable psychologies existing in the financial market, which has important influence on the prices of the financial products. Combining with the charac- teristics of the futures market, this paper establishes a mathematical model of the influence of the overcon- fidence on the futures market price. Through the model, we deduce some of the conclusions that overconfidence will result in more trade volume of the speculators and arbitrageurs who contain overconfidence psychology; the extent of overconfidence between speculators and arbitrageurs will influence the trend of the mean of equilibrium futures price; and overconfidence psychology can weaken the fluctuation of the futures price caused by noise traders. At last, the method of simulation is employed to verify the conclusions above.