基于因素嵌入的非理性资产价格泡沫生成及膨胀演化研究

近几年,随着资产价格泡沫现象的频繁发生,实业家和学者开始重点关注泡沫生成、膨胀的演化过程。本文通过引入导致预期发生变化的三个影响因素(过度自信、资产缺乏弹性、流动性过剩),扩展了现有的噪声交易者(DSSW)模型,揭示由噪声交易者对资产价格预期发生变化而造成的非理性资产价格泡沫的生成及膨胀机理,分析得出:三个影响因素促使资产价格预期发生变化,进而导致非理性资产价格泡沫生成及膨胀;并利用MATLAB软件对非理性资产价格泡沫膨胀过程进行模拟,分析得出:噪声交易者占比、非知情噪声交易者占比、过度自信影响因子、资产缺乏弹性影响因子、流动性过剩影响因子越大,非理性资产价格泡沫的膨胀速度越快、波动幅度越大,这对防止泡沫膨胀速度过快、过大有一定的参考价值。

Study on Evolution of Irrational Asset Price Bubble Generation and Expansion Based on Factors Embedded

In recent years, by frequent occurrence of asset price bubble, industrialists and scholars began to focus on the bubble generation and evolution process of expansion.In this paper the existing noise traders (DSSW) model is extended by three factors, which could lead to the chance of expectation.There are overconfidence, inflexible assets and excess liquidity.And it reveals mechanism of generation and expansion of irrational asset price bubble, which is caused by the changes of expectation on assets from the noise traders.The results are as follows: the three factors prompt the chances of asset price expectations, leading to the formation and expansion of irrational asset price bubble.Then, simulation test is made on the expansion process of irrational asset price bubble with MATLAB.The results are as follows: the larger the ratio of noise traders, non-informed noise traders, overconfidence factors, inflexible asset factors and the excess liquidity factors are, the faster and greater the irrational asset price bubbles expansion and deviation will be.This will provide certain reference value to avoid the over-rapid and oversize bubble expansion.