基于随机博弈实验的投资者情绪形成与演化

A Study on Investor Sentiment formulation and Evolution Mechanism based on Stochastic Game Experiments

运用实验经济学研究了投资者通过重复随机协调博弈寻找最优决策的过程,并在此基础上分析了投资者情绪演化机制和原理。实验证据证明,此博弈中任何形式的协调都是投资者通过不断寻找聚点均衡,并理性选择完美贝叶斯纳什均衡的结果。这一演化机制不但揭示了诸如动量效应、反转效应和过度交易等常见的证券市场投资者情绪背后的形成机理,还证实了即使在理性假设前提下,投资者通过群体博弈仍然会形成非理性情绪的演化和集聚。

Using the method in experimental economics, we study how the investor find the optimal decision in securities market through repeated random coordination game, and obtain the investors＇ sentiment evolution mechanism and principle. By analyzing the experimental evidence, we find that the rational investors choose the perfect Bias Nash equilibrium in the experiment. This result may be used to explain the phenomena in behavioral finance such as the momentum effect, inversion effect in stock market. The result also confirms that, even in the rational conditions, investors may still form irrational emotional agglomeration and evolution through the group game.