正反馈交易、羊群行为和持续性下的股价波动

Stock Price Fluctuations Affected by the Positive Feedback Trading, Herd Behavior and Persistence

基于De Long等引入羊群效应建立模型刻画股价变动,并且将模型在无限清算期拓展。通过分析无限交易期模型,发现市场中正反馈交易者的行为,导致股价在短期都表现出正的自相关性。此时,羊群效应加大了市场中价格的偏离,使得股价波动加大;市场中不存在羊群效应的时候,基本价值决定了价格;市场中存在羊群效应的时候,价格变化表现出复杂性。具体地,当羊群效应不大时,套利交易会使得价格仍然向基本价值收敛;当市场中的羊群效应较大时,如果市场价格变化可持续,套利交易不会使价格收敛于基本价值,价格会围绕基本价值振荡,可能是等幅振荡,也可能是发散振荡;当市场中的羊群效应很大的时候,如果市场价格变化可持续,价格不会围绕基本价值振荡,而是发散的。

Based on the theory of De Long et al.,this paper introduces herd effect to set a model to describe stock price changes.This model is extended in the infinite liquidation period.By analyzing the infinite trading period model,this paper finds that the behaviors of positive feedback traders in the market lead to the positive autocorrelation of stock prices in the short term.On that note,herd effect causes larger market price deviation,which further arouses drastic fluctuation in stock prices;when there is no herd effect in the market,the price depends on the fundamental value;when there exists herd effect in the market,the price changes show complexity.Specifically,when herd effect is not obvious,the arbitrage trade allows price to converge towards their fundamental value;when herd effect is obvious,the arbitrage trade doesn’t allow price to converge towards their fundamental value in case of persistent price changes,instead,price can oscillate around the fundamental values,either in equal or divergent oscillations;when herd effect is significant,price is in divergent oscillations instead of oscillating around the fundamental values in its persistent changes.