基于有限理性博弈论的投资者羊群行为研究

A study on Herd Behavior of Investors Based on Bounded Rational Game Theory

运用有限理性博弈论分析机构投资者和个人投资者在市场上表现出的羊群行为,机构投资者羊群行为以机构之间相互竞争的角度,用鹰鸽博弈模型来研究其羊群行为过程,个人投资者羊群行为用蛙鸣博弈模型来刻画,机构投资者和个人投资者羊群行为作为两个群体用非对称博弈模型来阐述它们在市场上的博弈。得出以下结论:当机构投资者之间充分有效竞争时,可使其羊群行为程度降低;当市场中信息透明度高,个人投资者容易获得有效信息时,个人投资者之间的羊群行为减少;当信息成本高昂,机构投资者可以负担,个人投资者不能承担时,个人投资者羊群行为严重。

In the context of financial internationalization,it is crucial to study the behavioral decisions of investors in the securities market.This paper uses the bounded rational game theory to analyze the herding behavior of institutional investors and individual investors in the market.The institutional investor’s herd behavior uses the eagle pigeon game model to study herding behavior.In the process,the individual investor’s herding behavior is characterized by the frogging game model,and the institutional investors and individual investors’herd behavior as two groups use the asymmetric game model to illustrate their game in the market.It is concluded that when institutional investors are fully and effectively competed,their herding behavior can be reduced;when information transparency in the market is high and individual investors are vulnerable to effective information,the herding behavior among individual investors reduced;when information costs are high,institutional investors can afford it,and when individual investors can't afford it,individual investors have serious herding behaviors.