摘要
提出一个金融市场演化博弈模型,其参与者可采用顺势、反转或中性交易策略.市场中各策略所占比例的差异会使得各种策略的预期收益有所区别,有限理性的交易者会学习并选择最有效的策略,从而改变市场中原有的策略组合.利用复制动态方程得到描述该策略演化过程的微分动力系统,系统的两类稳定状态分别解释了金融市场的周期波动和价格泡沫现象.
This paper presents an evolutionary game model for the financial market, taking into consideration of three types of traders: momentum trader, contrarian trader, and noise trader. With different combination of strategies, different revenue is expected. Rational traders will learn to choose the most efficient strategy, leading to changes in strategy combination. By a replicator equation, a dynamic system is defined to describe strategy evolvement. The evolutionary stable states are presented, producing periodic price oscillations and a price bubble.
出处
《北京师范大学学报(自然科学版)》
CAS
CSCD
北大核心
2010年第6期744-746,共3页
Journal of Beijing Normal University(Natural Science)
基金
国家自然科学基金资助项目(70871013)
福建省教育厅资助项目(JA08195)
福建省莆田市科技计划资助项目(2006S10(1))
福建省高校服务海西建设重点资助项目(2008HX03)
关键词
顺势交易策略
反转交易策略
演化博弈
金融市场
momentum strategy
contrarian strategy
evolutionary game
financial market