基于异质交易者定价模型的资产价格泡沫内生机理研究

资产价格泡沫等市场异常现象使得有效市场假说理论受到质疑,研究者们更多的是从行为金融学的角度对这些现象进行解释,认为是由市场投资者的非理性因素所造成的。本文考虑了市场中投资者决策的异质性,构建了含有长期基础投资者和短期技术投资者的异质交易模型,以说明在投资者均具有理性预期的条件下,有效市场假说理论同样可以解释泡沫的产生。具体而言,技术投资者的交易行为使价格产生波动,基础投资者的存在则对波动起到放大作用,并会进一步导致泡沫的出现,随着基础投资者所占的比例增大,泡沫膨胀的速度加快,由此导致市场的波动越剧烈。研究结果为市场监管者提供了有益的启示:与其设置壁垒限制技术投资者的加入及交易活动,不如让越来越多的技术投资者加入到市场中来,这样更有益于市场的稳定。     

基于概率区间的信念均衡

本文用概率区间描述对策中的策略不确定性,放弃共同知识假设,考虑了基于概率区间的不确定性对策模型的信念均衡问题,提出了一种新的信念均衡概念,并证明了其存在性及合理性.     

非对称信息证券交易的跨期动态博弈均衡解析

揭示了不对称信息条件下证券市场均衡的基本特征.Grossman和Stiglitz模型依据不知情交易者的弱理性,解析了证券交易的静态均衡状态.O'Hara模型增强了不知情交易者的理性,强调了市场均衡时的风险定价,但其命题的成立条件是相互矛盾的.认为不知情交易者信息收集和处理能力的提高会使决策更为理性,证券市场的均衡本质上是交易者的动态博弈均衡.依此思路,运用不完美信息的跨期动态博弈模型解析了非对称信息条件下证券交易者的精炼贝叶斯纳什均衡.结论显示出,市场失效的主要原因是交易者之间的信息分析能力不平衡,而不是信息不对称;市场流动性的决定因素不是信息不对称风险而是知情交易者与不知情交易者所研判的无风险收益率的差别.     

一些最大信息先验分布与广义最大熵先验分布

本文讨论了三种确定无信息先验分布的方法。利用熵不等式,简化了Zellnor(1984)关于最大数据信息先验分布的一条定理的证明,并得到了其唯一性。在此基础上提出了广义最大熵先验分布,它在某些方面改进了经典的最大熵原理,对于最大相关先验分布(即Lindley准则),我们得到了一个中间解,由此导出了许多常见分布族的最大相关先验分布。     

投资者看法差异与风险资产定价

股票市场中投资者的看法差异是否影响定价?将投资者之间由于信息不对称引起的看法差异和对称信息下由于信念异质引起的看法差异,纳入统一的一个理性预期模型,推导出基于信息性风险和异质信念下的风险资产定价模型,对几种不同来源性质的看法差异进行剥离并通过对均衡价格的比较静态分析证明了:由信息不对称造成的看法差异与投资者要求的预期收益率正相关,而由信念异质引起的看法差异与预期收益率负相关.这表明:投资者对逆向选择风险要求额外的风险贴水,而相反会忽视赢者诅咒风险,投资者的看法差异越大越会造成股票价格的高估.     

Brouwer定理与均衡价格

本文详细论述了在一般均衡体系中均衡价格存在性定理与Brouwer不动点定理是等价的。即,均衡价格π ζ（π）≤0就是Brouwer定理中的不动点x^∧ f(x^∧)=x^∧并给出证明。这一等价性为计算均衡价格提供了坚实的理论依据,从而肯定了利用Brouwer定理寻找不动点的方法计算均衡价格的计算方法是可靠的。因此具有特别重要的实用意义。     

均值-ES框架下带交易费用的资本资产市场中均衡价格的存在性与确定

探讨具有有限多个风险资产和一个无风险资产、有多个投资者参与的资本资产市场中非负均衡价格的存在性条件与确定问题,从以下角度改进了现有结果:采用期望损失(Expected shortfall,简称ES)作为风险度量,保证了均值-ES框架下所得结果与期望效用极大化原理结果的一致性;对证券收益的联合分布不做假设;考虑了比例交易费用对价格的影响,所得结果更贴近现实的金融市场;不仅给出了非负均衡价格存在唯一的充要条件,而且导出了其具体表达式;在对比分析其与现有结果异同的同时,还讨论了所给充要条件与定价公式的应用与经济解释.     

含时变风险厌恶系数的异质信念模型及实证分析

根据前景理论的反射效应,在做市商调整机制下,对市场中的两类投资者(基本面分析者和趋势追随者)同时引入时变的风险厌恶系数,扩展了异质预期下风险厌恶固定不变的资产定价模型.通过蒙特卡洛模拟,对噪声项和根本确定性系统之间相互作用的分析得出,模型能产生真实的价格行为.最后的实证模拟,对比分析了本模型,原模型及上证指数的收益序列特性,发现本模型能更好的模拟中国股票市场的收益率特性.     

考虑投资者异质信念和目标优先级的投资组合问题研究

考虑证券市场的模糊不确定性及投资者的模糊决策特征,以资产收益、下方风险及流动性为模糊投资目标,构建考虑投资者异质信念和目标优先级的多目标投资组合模型。进一步,以我国主板、中小板和创业板市场为背景,采用CPT-TOPSIS交互式算法进行实证分析。研究发现:乐观、理性和悲观投资者权衡收益、风险和流动性目标时偏好的优先顺序不同,导致资产配置结构、最优决策和绩效表现存在差别。结果表明模糊多目标模型能够满足不同投资者权衡多目标的差异化投资需求,取得优于基准随机投资组合的投资效果,可作为投资者投资决策的参考依据。     

动态均衡价格及其稳定性分析

本文讨论了动态系统中均衡价格向量的变化轨迹及其稳定性．由分析可知，当价格向量沿理想变化路变化时，价格向量最稳定；当价格向量沿非理想变化路变化时，给出了价格向量相对稳定的充要条件．     

Asymmetric Information,Heterogeneous Prior Beliefs and Market Regulation

Acta Mathematicae Applicatae Sinica, English Series - This paper studies the trading behavior of an irrational insider and its influence on the market equilibrium in the presence of market...     

Modelling Asset Prices for Algorithmic and High-Frequency Trading

ABSTRACT

Algorithmic trading (AT) and high-frequency (HF) trading, which are responsible for over 70% of US stocks trading volume, have greatly changed the microstructure dynamics of tick-by-tick stock data. In this article, we employ a hidden Markov model to examine how the intraday dynamics of the stock market have changed and how to use this information to develop trading strategies at high frequencies. In particular, we show how to employ our model to submit limit orders to profit from the bid–ask spread, and we also provide evidence of how HF traders may profit from liquidity incentives (liquidity rebates). We use data from February 2001 and February 2008 to show that while in 2001 the intraday states with the shortest average durations (waiting time between trades) were also the ones with very few trades, in 2008 the vast majority of trades took place in the states with the shortest average durations. Moreover, in 2008, the states with the shortest durations have the smallest price impact as measured by the volatility of price innovations.     

资产价格中跳的检验与度量

分离估计归因于跳部分和连续部分对资产定价是非常重要的.由于市场信息的流入,前者通常比后者缺少可预测性.到目前为此,小波方法对于发现跳点和估计跳大小是有力的,正如王亚珍[1].但是在一些程度上,在点估计方面不能准确地对跳的位置和大小进行估计.本文中,我们提出了改进方法去估计已实现方差,从而新的估计量被用于在不同的取样策略...     

基于异质理念的动态组合选取模型

不同于传统的代表性经济人的动态投资组合选取模型,引入异质理念,考虑不同投资者的动态组合选取.由于投资者的乐观或悲观情绪直接影响了他对信息的评价,因此用随时间变化的参数体现投资者的情绪,随机组合收益分布是这个参数的函数,不同的投资者或者同一投资者在不同情绪下就有了自己独特的收益分布.通过对均值——方差目标函数的变形,给出了不同投资者对风险资产的最优投入、预期收益和方差的解析表达式,此三项不仅和投资者的风险厌恶度有关,而且和投资期长短有关、与投资者的情绪有关.在对香港恒生指数的实证分析显示,异质性严重影响投资者对风险资产的投入.     

Modelling Joint Behaviour of Asset Prices Using Stochastic Correlation

Association or interdependence of two stock prices is analyzed, and selection criteria for a suitable model developed in the present paper. The association is generated by stochastic correlation, given by a stochastic differential equation (SDE), creating interdependent Wiener processes. These, in turn, drive the SDEs in the Heston model for stock prices. To choose from possible stochastic correlation models, two goodness-of-fit procedures are proposed based on the copula of Wiener increments. One uses the confidence domain for the centered Kendall function, and the other relies on strong and weak tail dependence. The constant correlation model and two different stochastic correlation models, given by Jacobi and hyperbolic tangent transformation of Ornstein-Uhlenbeck (HtanOU) processes, are compared by analyzing daily close prices for Apple and Microsoft stocks. The constant correlation, i.e., the Gaussian copula model, is unanimously rejected by the methods, but all other two are acceptable at a 95% confidence level. The analysis also reveals that even for Wiener processes, stochastic correlation can create tail dependence, unlike constant correlation, which results in multivariate normal distributions and hence zero tail dependence. Hence models with stochastic correlation are suitable to describe more dangerous situations in terms of correlation risk.

     

Gender,Prior Academic Performance and Beliefs as Predictors of Attitudes Toward Biology Laboratory Experiences

The purpose of this study was to investigate the relationships between gender, prior academic performance, beliefs and student attitudes toward biology laboratory experiences. The sample consisted of 294 students from 10th, 11th and 12th grades enrolled in a Catholic high school in a major metropolitan area in the Southeast. Two 11-item scales were created; one to measure student attitudes toward biology laboratory experiences, and the other to measure student beliefs about the benefits of biology laboratory. A three-way analysis of variance (gender × prior academic performance × beliefs) was conducted with the attitudes toward biology used as the dependent variable. Gender had a significant effect on attitudes, with females reporting more positive attitudes toward biology laboratory than males. Prior academic experience was also a significant predictor of attitudes; students who received lower GPAs in previous science courses reported more positive attitudes toward biology laboratory than students with higher GPAs. Based on previous research this finding was surprising; however, it appears that lower achieving students may perceive that there is a higher benefit from “hands on” laboratory experiences than high achieving students. The data also indicated that beliefs had the strongest correlations with attitudes; students who believed laboratory experiences were beneficial had more positive attitudes. The implications for research, theory and practice are also presented.     

Asset Pricing under Progressive Taxes and Existence of General Equilibrium

This paper shows that the existence of general equilibrium in a two-period economy with financial markets and progressive anonymous tax system is not at all problematic, provided securities are purely financial. We explore the concepts of weakly and strongly arbitrage-free security price for return and tax system, and prove arbitrage-free asset pricing theorems without short-sale restrictions. A general equilibrium is a set of current and future prices (contingent on uncertain events) and a set of individual plans such that all markets are cleared. The existence of such an equilibrium is proved under the following conditions: continuous, weakly convex, strictly monotone, complete preferences and strictly positive endowments.     

Probing Option Prices for Information

We present a methodology for extracting information from option prices when the market is viewed as knowledgeable. By expanding the information filtration judiciously and determining conditional characteristic functions for the log of the stock price, we obtain option pricing formulae which when fit to market data may reveal this information. In particular, we consider probing option prices for knowledge of the future stock price, instantaneous volatility, and the asymptotic dividend stream. Additionally the bridge laws developed are also useful for simulation based on stratified sampling that conditions on the terminal values of paths.      

期货市场中持仓量及参与者对资产价格的影响研究

本文通过建立一个期货市场的均衡模型,提出在具有套保需求和有限风险承受能力的前提下,期货价格能够预测未来资产价格变动的方向,持仓量能够辅助预测未来资产价格变动的剧烈程度;此外,市场中不知情投机者具有风险调整市场收益的作用,不知情套保者的参与能够稳定市场。对于持仓量是否能够辅助预测未来资产价格变动的剧烈程度,本文利用中国商品期货市场数据进行了实证检验,结果表明与理论研究的结论一致。