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羊群效应、噪声交易者与超指数金融泡沫

文章 arXiv papers · 作者: T. Kaizoji et al.
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总结

本文提出一个包含风险资产和无风险资产的均衡模型，其中有理性投资者和噪声交易者。理性投资者依据预期收益和风险，在恒定相对风险厌恶效用下选择资产配置。噪声交易者相互模仿并进行动量交易，其羊群倾向则随时间随机变化。该模型旨在解释这两类参与者之间的相互作用如何影响价格和收益。

作者报告称，该框架可再现厚尾收益和波动率聚集，并能生成暂时快于指数增长、近似具有对数周期模式的泡沫。他们将模型的价格动态与 1995 至 2000 年的互联网泡沫相联系，并发现动量策略在一段时间内有利可图，这与动量强化羊群效应的解释一致。这些是基于模型的发现和历史比较；摘录未提供估计细节、稳健性检验，也没有证据表明该策略在泡沫条件之外仍能保持盈利。

核心观点

  • 理性投资者依据预期效用在风险资产与无风险资产之间配置资金。
  • 噪声交易者相互模仿并进行动量交易，且其羊群倾向会随时间变化。
  • 模型生成厚尾收益、波动率聚集和暂时快于指数增长的泡沫。
  • 作者将模型与 1995 至 2000 年的互联网泡沫进行比较。
  • 据报告，动量策略曾暂时有利可图，并可能强化羊群效应。

标签

动量波动率股票统计学
全文
# Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders


# Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders









We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which rational investors and noise traders co-exist. Rational investors form expectations on the return and risk of a risky asset and maximize their constant relative risk aversion expected utility with respect to their allocation on the risky asset versus the risk-free asset. Noise traders are subjected to social imitation and follow momentum trading. Allowing for random time-varying herding propensity, we are able to reproduce several well-known stylized facts of financial markets such as a fat-tail distribution of returns and volatility clustering. In particular, we observe transient faster-than-exponential bubble growth with approximate log-periodic behavior and give analytical arguments why this follows from our framework. The model accounts well for the behavior of traders and for the price dynamics that developed during the dotcom bubble in 1995-2000. Momentum strategies are shown to be transiently profitable, supporting these strategies as enhancing herding behavior.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。