基于生灭过程的证券市场演化模型

中国管理科学 ›› 2011, Vol. 19 ›› Issue (3): 39-45.

基于生灭过程的证券市场演化模型

赵鹏举¹, 刘玉敏²

1. 中原工学院, 郑州河南450007;
2. 郑州大学商学院, 郑州河南450052

收稿日期:2010-09-30 修回日期:2012-02-20 出版日期:2011-06-30 发布日期:2011-06-30
作者简介:赵鹏举(1976- ),男(汉族),河南唐河县人,中原工学院副教授,博士,研究方向:金融风险管理、行为金融、质量管理.
基金资助:
国家自然科学基金项目(70572050,70771102)

An Analysis on Stock Market Evolutionary Based on Birth-Death Process

ZHAO Peng-ju¹, LIU Yu-min²

1. Zhongyuan University of Technology, Zhengzhou 450007, China;
2. Business School, Zhengzhou University, Zhengzhou 450052, China

Received:2010-09-30 Revised:2012-02-20 Online:2011-06-30 Published:2011-06-30

摘要/Abstract

摘要： Friedman等人认为通过市场机制,证券市场能够在长期消除非理性交易者。为了对这个观点进行严格的定量分析,本文提出了一个应用生灭过程研究非理性交易者和理性交易者共存的证券市场演化模型,用生灭过程刻画理性交易者和非理性交易者在证券市场中增减变化的动态规律。结论表明非理性交易者即使平均而言是亏损的,他们也未必在证券市场中消失,非理性交易者在市场中的生存与消亡取决于其初始财富、其进入市场的速率以及其交易的盈亏情况等多种因素。

关键词: 金融进化论, 生灭过程, 理性交易者, 非理性交易者

Abstract: Alchian and Friedman consider that financial market should eliminate the irrational traders.This essayest ablishes a model adopt birth death process to research the stock market which have rational traders and irrational traders.We studies the velocity of rational traders and irrational traders enter and quit the stock market.Based on this we can analysis the dynamic rule of the increase or decrease of the numbers of rational traders and irrational traders in stock market.Our conclusion is that the irrational traders may not be eliminated from the stock market.Their survival or disappear depend on many factors which include the initial wealth of irrational traders,the profits and losses of irrational traders,etc.

Key words: stock market evolutionary, birth death process, rational traders, irrational traders

中图分类号:

F830.91

赵鹏举, 刘玉敏. 基于生灭过程的证券市场演化模型[J]. 中国管理科学, 2011, 19(3): 39-45.

ZHAO Peng-ju, LIU Yu-min. An Analysis on Stock Market Evolutionary Based on Birth-Death Process[J]. Chinese Journal of Management Science, 2011, 19(3): 39-45.