基于分形博弈的动量和反转效应转换研究

The Study of Momentum and Contrarian Effects Conversion Based on Fractal Game

动量和反转效应普遍存在于证券市场,且会相互转换,但两者间相互转换的特征却鲜有人知.在多数派和少数派博弈的基础上,首次引入分形市场理论对投资者决策特征进行描述,据此建立了分形博弈过程,以分析动量和反转效应转换的统计特征.研究结果表明:在三种博弈机制下,分形博弈机制下的仿真收益率序列的统计分形特征更为接近实际序列的对数收益率序列,且动量和反转效应的相互转换与真实情况也异常相似,这体现了采用分形博弈分析动量和反转效应转换的有效性,为投资者构建有效的动量或反转投资策略提供了决策参考.

Momentum and Contrarian Effects exist widely in the securities market, and can be interchangeable. But only few people know this conversion characteristic. On the basis of the majority and the minority game, this paper first introduces the fractal market theory to describe the features of investors decision-making, and establishes a fractal game process to analyze the statistical characteristics of momentum and contrarian effects conversion. The results show that： under three game mechanisms, the statistical fractal feature of return series under the game simulation mechanism is much closer to the Logarithmic return series of actual sequence, and the conversion of momentum and reversal effect of the real situation is remarkably similar, which reflects the effectiveness of using momentum and contrarian effects conversion. Also it provides decision-making reference for investors to build the effective momentum or contrarian strategies .