摘要
本文从金融市场指令交易机制出发,将市场投资主体分为市场追随者和自我相信者两类,分析了两类投资者面对由异质分析资产价值信号形成的市场价格的学习机制,且对交易量变化以及均衡价格的达成路径进行了研究。研究表明,单期价格均衡下市场仍存在资产交易,且投资者随着均衡价格期数增加和价格精度增大逐渐撤离市场,较大的市场追随者比重将滞后混合策略市场的价格均衡期数。
In this paper, we divide investors in order market into two types： ＂Market-Follower＂ and ＂Self-Believer＂. Under this division, we analyze investors＇ asset position strategy facing market price which is caused by public information＇ s divergent expectation. We then study the movement of trade volume and the market price＇ s equilibrium process. It is shown that trade volume remains under one-period equilibrium price and investors withdraw from market with persistent equilibrium prices and a larger price precision. In addition, equilibrium price could be achieved in both single and multi investors＇ market while a larger ratio of ＂Market-Follower＂ would delay the equilibrium period in a multi investors＇ market.
出处
《金融理论与实践》
北大核心
2011年第12期3-7,共5页
Financial Theory and Practice
基金
教育部高校博士点基金自然科学类(20100191110033)
关键词
异质分析
学习机制
交易量
均衡价格
Analysis of Different Quality
Learning Mechanism
Trade Volume
Equilibrium Price
