图表派的记忆如何影响异质主体模型中的财富
文章 arXiv papers · 作者: Hai-Chuan Xu et al.
总结
本文提出一个多资产模型，包含两类投资者：基本面派会对股价与基本面之间的感知差异作出反应，图表派则利用价格趋势。两类投资者都通过最大化恒定相对风险厌恶效用来作出投资决策。作者报告称，经过校准的模型再现了厚尾收益和持续波动等市场特征，并据此研究策略参数与两类投资者各自财富份额之间的关系。
图表派的指数移动平均线周期越长，其财富份额往往越高；但周期足够长时，这种影响会趋于平缓。均值回归参数的变化对两类投资者的财富份额都没有明显影响。摘录据此认为，基本面派对价格误差的反应强度不会改变其长期财富份额。这些发现来自经过校准的模型；摘录没有提供校准细节、稳健性检验，也没有证据表明模拟关系适用于真实市场。
核心观点
- 模型使用CRRA效用来描述多个资产中的基本面派和图表派投资者。
- 据报告，经过校准的模型再现了厚尾收益和持续波动。
- 随着指数移动平均线周期延长，图表派的财富份额往往上升，但这种影响最终会趋于饱和。
- 据报告，均值回归参数对任一类投资者的财富份额都没有明显影响。
- 这些发现基于模型，摘录未提供校准或稳健性检验细节。
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全文
# Wealth share analysis with "fundamentalist/chartist" heterogeneous agents # Wealth share analysis with "fundamentalist/chartist" heterogeneous agents We build a multiassets heterogeneous agents model with fundamentalists and chartists, who make investment decisions by maximizing the constant relative risk aversion utility function. We verify that the model can reproduce the main stylized facts in real markets, such as fat-tailed return distribution and long-term memory in volatility. Based on the calibrated model, we study the impacts of the key strategies' parameters on investors' wealth shares. We find that, as chartists' exponential moving average periods increase, their wealth shares also show an increasing trend. This means that higher memory length can help to improve their wealth shares. This effect saturates when the exponential moving average periods are sufficiently long. On the other hand, the mean reversion parameter has no obvious impacts on wealth shares of either type of traders. It suggests that no matter whether fundamentalists take moderate strategy or aggressive strategy on the mistake of stock prices, it will have no different impact on their wealth shares in the long run.
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此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。