| 投资者心态对股票价格走势的作用机理研究 |
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| 引用本文： | 刘玉灿,李心丹,杨明.投资者心态对股票价格走势的作用机理研究[J].数学的实践与认识,2011,41(21). |
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| 作者姓名： | 刘玉灿 李心丹 杨明 |
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| 作者单位： | 1. 南京理工大学经济管理院,江苏南京210094;南京大学工程管理学院,江苏南京210093
2. 南京大学工程管理学院,江苏南京,210093 |
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| 基金项目： | 国家重点基础研究项目(973计划2007CB14903); 南京理工大学自主科研专题计划资助项目(2010GJPY061) |
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| 摘 要： | 假设股价变化遵循马尔科夫转移过程,考察具有不同心态的投资者的市场行为,给出投资者心态与股价变化之间相互作用的模型,得到了股价走势的两个基本模式,并用此模型解释股价走势中的动量效应和反转效应.
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| 关 键 词： | 投资者心态 马尔科夫转换机制 动量效应 反转效应 |
Investigation about Mechanism of the Effect of Investor Sentiment on Stock Price Trend |
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| LIU Yu-can,LI Xin-dan,YANG Ming.Investigation about Mechanism of the Effect of Investor Sentiment on Stock Price Trend[J].Mathematics in Practice and Theory,2011,41(21). |
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| Authors: | LIU Yu-can LI Xin-dan YANG Ming |
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| Institution: | LIU Yu-can~(1,2),LI Xin-dan~2,YANG Ming~2 (1.School of Economics and Management,Nanjing University of Science and Technology,Nanjing 210094,China) (2.School of Engineering and Management,Nanjing University,Nanjing 210093,China) |
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| Abstract: | In this paper,supposed that the stock price changes are controlled by Markov chain,market behavior of investors with different sentiment are examined.A Model about mechanism of effects of investor sentiment on stock price trend is presented.Two basic modes of stock price trend are given,and then momentum effect and reversal effect in real world are explained by using the two basic modes. |
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| Keywords: | investor sentiment markov regime switching momentum effect reversal effect |
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