正反馈交易模型与中国股市价格波动——对DSSW模型的扩展讨论

Positive Feedback Trading Model and Stock Price Fluctuations in China: An Extended Discussion on DSSW Model

DSSW模型描述了在理性交易者和非理性交易者数量相等的设定下,正反馈交易者的交易行为以及金融资产价格的波动情况。针对中国股市特征,建立了扩展的六状态DSSW模型,讨论了信息交易者利用信息优势,借助正反馈交易者的跟风行为,操纵股价大幅波动,获取超额收益的行为。利用该模型分析了"庄家"内幕交易的五个阶段及其特征,据此提出建议:完善信息披露机制,加强对特殊波动股票的监控,改变股票盈利模式,树立价值投资理念。

Under the enactment of number equal model describes the behavior of positive feedback of rational traders and irrational traders, the DSSW traders and price fluctuation of financial asset. Aims at the character of Chinese stock market, this paper builds an extended six state DSSW model. This model describes information dealers take advantage of private information to attract positive feedback dealers buy stocks, so that they can control the stock price greatly fluctuating and gain excess returns. By the use of this model, it analyses the characters of five phases of Banker＇ s inside trading. At last pol- icy advices are given： improve information disclosure mechanism, strengthen the monitoring of special fluctuation stocks, change the stock profit model, set uo the value investment idea.