基于有限理性的股票灰色定价与股票市场非有效性现象

Grey Pricing of Stock Based on Bounded Rationality and the Anomalies of Stock Market

本文从有限理性的角度 ,对折现现金流定价模型给出了一个灰色数学描述 ,引进了信心度的概念 ,建立了一个含有投资人行为心理为参数的模型 ,提出了灰色有效市场假说 ;最后利用该模型和灰色有效市场假说 ,把股票市场的非有效性现象纳入了一个解释框架。

Based on the bounded rationality, this paper give a kind of grey system, description to traditional pricing model, introduce the no tions of faith degree, and make a mathematic model of behavioral finance, put fo rward the grey efficient market hypothesis. In the end, the article fit several anomalies of stock market into one frame of interpretation.