技术分析、主体异质性与资产定价

通过构建异质主体经济跨期模型, 从技术分析的角度研究了主体异质性对市场理性预期均衡的影响,进而发现了异质主体经济下的市场价格稳定条件由技术分析者对历史价格的敏感程度、技术分析者所占市场份额以及无风险利率三者共同所决定.研究表明, 若分析策略不能严格地满足所给出的特定条件, 则技术分析会长期影响价格水平及波动性.此外, 价格序列的发散表征了市场泡沫的产生, 而造成价格发散的部分原因是由于理性投资者与技术分析者异质性较高, 技术分析者对历史信息过度敏感.针对此类泡沫,小幅度提升无风险利率并不能起到有效的抑制作用.

Technical analysis,agent heterogeneity and asset pricing

This paper investigates the price impact of agent heterogeneity on market rational expectation from the technical analysis aspect by building an inter-temporal model under heterogeneous agent economy.It finds that the condition for stabilizing that market price is related to the sensitivity of the technical analysts to the ex post price, the ratio of the technical analysts in the market, and the value of risk-free interest rate.The analysis shows that the impact on price exists in the long run unless the analytic strategy holds a special condition.Furthermore, the high sensitivity may lead to market bubbles which are represented by the divergence of the price sequence.To control this type of bubbles, the interest rate should increase as much as possible.