非理性信息交易者的羊群行为均衡分析

分析了证券市场上信息交易者的非理性行为与其羊群行为均衡之间的关系。首先建立信息交易者完全理性下的交易行为模型,并对羊群行为均衡做出定义;然后利用2个反映信息交易者非理性程度的参数将模型拓展,得到非理性信息交易者达到羊群行为均衡时2个参数的临界值。结论表明,若市场中的交易者完全理性,则不会发生羊群行为;若考虑其非理性因素,则可能引发羊群行为。并且随着市场中采取相同策略进行交易的人数增加,反映信息交易者非理性程度的2个参数的临界值表现出一定的变化规律。

Study on Herding Equilibrium of Irrational Informed Trader

This paper studies the connection between the irrational behavior of and the herding equilibrium of informed traders in security market.At first,we set up the trading system on the condition of market maker,establish a trading model of perfectly rational traders,and then define herding equilibrium.Second,we extend the model using two parameters,and find the critical points of irrational traders when they reach the herding equilibrium.The result indicates that herding never occurs in market if all the traders are perfectly rational.If consider their irrational factor,it maybe arouse herding.Besides,along with the number of traders who make the same trading strategies increasing,the two critical points show some rules.