异质性主体下市场波动异象的行为金融学解释——基于计算金融的方法

Behavioral Financial Analysis of Market Anomalies with Heterogeneous Agents——Based on the Computational Finance Approach

本文结合行为金融和计算实验方法建立包含三类交易模式的异质跨期人工金融市场,分别在期望效用和前景理论框架下描述投资者决策方式对资产价格波动特征的影响。其中,基于前景理论框架的情绪交易包含二维风险态度、参考点效应、主观概率扭曲等多种心理因素。通过与上证50ETF波动特征的对比,本文验证了该模型对于异象观测的有效性;通过方差分析,验证了模型中市场环境和心理参数是价格波动特征改变的决定性因素。进一步,本文对不同参数取值下价格形成系统进行收益率横截面分析,发现系统环境和投资者心理因素对市场波动特征的影响机制存在差异,系统环境的改变能够引起收益率极端值增加和市场尾部风险累积,而心理因素仅引发收益率围绕均值的波动增加。这表明投资者认知局限和决策偏好导致的有限理性对市场波动的影响较为间接和温和,维护市场稳定更重要的措施应着眼于市场环境的改善。

This paper investigates the effect of heterogeneity and bounded rationality on market anomalies in price formation.On the basis of the cumulative prospect theory,we construct an inter-temporal heterogeneous agent model in which asset price fluctuations are determined by the evolutionary dynamics embedded in the model.The artificial financial market constructed by the agent-based model includes three types of trading patterns—the rational pattern,the emotional pattern and the noisy pattern.Investors under the emotional pattern make decisions based on the cumulative prospect theory,whose preferences include different risk attitudes,reference point effects,and distortions caused by the probability weighting function.Compared with the stylized facts of SSE 50 Index,the artificial market is proven to be effective.Besides,we verified that market environment and psychological parameters are the decisive factors of price formation via ANOVA.By analyzing the distribution of return rates under different parameters,we find that the system environment and investor psychological factors affect the market fluctuation in different ways.Changes in the system environment can cause an increase in extreme values and accumulation of market tail risks,while psychological factors only trigger an increase in the volatility of returns around the mean.It means that the bounded rationality caused by investors’cognitive limitations and decision-making preferences has an indirect and mild impact on market price fluctuations,which also coincides with Kahneman’s views.The results suggest that a more effective measure to maintain market stability should focus on the improvement of the market system environment.