| 交易者行为倾向与股市波动形态 |
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| 引用本文： | 林鸿熙,李红刚,于同奎. 交易者行为倾向与股市波动形态[J]. 数学的实践与认识, 2010, 40(7) |
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| 作者姓名： | 林鸿熙 李红刚 于同奎 |
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| 作者单位： | 1. 莆田学院,福建,莆田,351100;北京师范大学,管理学院,北京,100875
2. 莆田学院,福建,莆田,351100 |
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| 基金项目： | 福建省教育厅项目(JA06150S); 福建省海西项目(2008HX03); 福建省莆田市科技计划项目2006S10(1) |
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| 摘 要： | 分析一个具有基础价值均衡、非基础价值均衡、周期和混沌等四种市场波动形态的随机多主体股市模型,利用理论分析和数值实验的方法研究交易者模仿学习、价格追踪和策略转移三种行为倾向对股市场波动形态的影响,得出结论:当三类行为倾向都很小时,股市处于基础价值均衡形态;随着价格追踪和模仿学习倾向逐渐增大,股市进入周期形态;当模仿学习倾向足够大时,系统处于非基础价值均衡形态;混沌形态出现在周期和非基础价值均衡形态中间很窄的参数范围.
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| 关 键 词： | 多主体股市模型 股市波动形态 交易者行为倾向 |
Traders' Behavioural Propensities and Stock Market Dynamic Regimes |
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| LIN Hong-xi,LI Hong-gang,YU Tong-kui. Traders' Behavioural Propensities and Stock Market Dynamic Regimes[J]. Mathematics in Practice and Theory, 2010, 40(7) |
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| Authors: | LIN Hong-xi LI Hong-gang YU Tong-kui |
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| Affiliation: | LIN Hong-xi~(1,2),LI Hong-gang~1,YU Tong-kui~1 (1.Putian University of Fujian,Putian 351100,China) (2.School of Management,Beijing Normal University,Beijing 100875,China) |
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| Abstract: | We analyze a stochastic multi-agent stock market model with four kinds of dynamic regimes including fundamental equilibrium,non-fundamental equilibrium,periodicity and chaos.The influence of traders' behavioral propensities such as mimetic propensity, price-chasing propensity and strategy-switching propensity to market dynamic regime is investigated by both qualitative and numerical methods.We find that:when all the three propensities are small,the market is in fundamental equilibrium regime;as mimetic prop... |
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| Keywords: | multi-agent stock market model stock market dynamic regimes traders' behavioral propensities |
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