随机交易行为、羊群行为与资产价格波动研究

Study on Random Trading Behavior,Herd Behavior and Asset Price Volatility

市场中交易者的随机交易行为与羊群行为和均值回归行为相互影响,并改变资产价格波动状态,但已有研究主要分析羊群行为和均值回归行为对资产价格波动的影响,对随机交易行为的研究较少。基于行为金融理论,引入随机交易者,扩展已有的非线性资产价格动态波动模型,研究随机交易行为与羊群行为、均值回归行为的交互作用及其对资产价格波动的影响,剖析资产价格的形成路径,并构建模型,进而分析金融系统的均衡点特征和稳定性,最终利用MATLAB对资产价格波动进行数值模拟检验。研究结果表明,市场中随机交易行为的存在导致资产价格不能收敛到资产的基本价值,只能收敛于偏离资产基本价值的一个均衡价格;当金融系统处于局部稳定状态时,均值回归交易程度与随机交易程度成正比,羊群行为的稳定范围与随机交易程度成正比、与均值回归交易程度成反比,且资产价格会以螺旋阻尼振荡走势收敛于资产的均衡价格;金融系统不处于局部稳定状态的两种状况,一是资产价格处于围绕资产均衡价格上下微幅周期震荡的稳定状态,二是资产价格波动幅度变大而处于的不稳定状态;随着市场中随机交易程度的逐步增大,资产均衡价格偏离其基本价值的幅度越大。研究结果揭示了3种交易者行为与资产价格波动间的关系机理,完善了行为金融理论体系,并为政府部门稳定金融市场提出可供参考的建议,即培养交易者的价值投资理念,减少投机行为,防止信息不对称导致的羊群行为。

The interplay among random trading behavior,herd behavior and mean-reversion behavior from the traders of a market will cause the change of asset price volatility. However,existing researches mainly focus on the latter two behaviors’ influences on asset price volatility,and few studies are related to random trading behavior.On the basis of the Behavioral Finance Theory,and through introducing random traders,this paper expands existing nonlinear dynamical model of asset price,which explores the interaction of the random trading behavior and herd behavior as well as mean-reversion behavior and its impact on asset price volatility. Based on the basic hypothesis of the research,it analyzes the path of asset price formation and constructs the corresponding model to make a further analysis on the characteristics of equilibrium point and stability of the financial system. Using the MATLAB software,it tests the asset price volatility by numerical simulation.It indicates： firstly,because of the existence of random trading behavior in the market,the asset price cannot converge to the fundamental value of asset,but simply an equilibrium price which deviates from fundamental value of the asset. Secondly,when the financial system keeps partial stability,the degree of mean-reversion trading is proportionate to the degree of random trading;the stability region of herd behavior is proportionate to the degree of random trading,inversely proportionate to the degree of mean-reversion,and the asset price will converge to the equilibrium price of assets by spiral damped oscillation movements.Thirdly,there are two situations when the partial financial system is not partially stable： one is stability situation in which the asset price stays slightly floating and periodically vibrated around the asset equilibrium price. the other one is instability situation due to asset price volatility at higher degree. Furthermore,with the increasing degree of random trading in the market,asset equilibrium price which deviates from the fundamental value would be at higher degree.It reveals the relationship between the three trader behaviors and asset price volatility and improves the system of Behavioral Finance Theory. Meanwhile,it provides some suggestions for the government to stabilize financial market as follows： firstly,the government should cultivate the value investing of the traders and reduce the occurrence of speculation; secondly,the government should also avoid the herd behavior caused by asymmetric information.