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市场冲击、投资者非对称性与进化市场模型中的羊群行为

文章 arXiv papers · 作者: Li-Xin Zhong et al.
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总结

本文采用进化少数者博弈，研究市场冲击以及投资者对收益和损失的非对称反应如何随着价格和策略演变而相互作用。模型区分市场冲击较小和市场冲击充分的情形，并将两种情形分别与不同的投资者行为模式和价格波动联系起来。市场冲击较小时，对收益和损失的敏感性可能导致羊群行为，即投资者趋向采取相似的极端行动，并引发大幅价格变动。

市场冲击充分时，投资者往往分化为对立群体，主导策略消失，价格波动受到抑制；模型将这种状态描述为有效市场。理论分析将群聚行为与自我分化行为之间的转变，与趋势跟随力量和趋势规避力量之间的竞争联系起来；财富动态则可能使市场变得可预测。这些是理论模型中的结果，并非实际市场也会经历相同阶段的实证证据。所提供的描述没有说明模型校准或针对观测市场数据进行的检验。

核心观点

  • 进化少数者博弈对股票价格与投资者策略的联合演变进行建模。
  • 市场冲击较小时，对收益和损失的非对称反应可能导致极端羊群行为和大幅价格波动。
  • 市场冲击充分时，投资者会自我分化为对立群体，价格波动受到抑制。
  • 趋势跟随行为与趋势规避行为之间的竞争，与模型中的阶段变化相关。
  • 由财富驱动的策略聚集可能使模型中的市场变得可预测。

标签

股票市场微观结构趋势跟踪均值回归统计学
全文
# Coupled effects of market impact and asymmetric sensitivity in financial markets


# Coupled effects of market impact and asymmetric sensitivity in financial markets









By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the investors' global behavior are found to be closely related to the phase region they fall into. Within the region where the market impact is small, investors' asymmetric response to gains and losses leads to the occurrence of herd behavior, when all the investors are prone to behave similarly in an extreme way and large price fluctuations occur. A linear relation between the standard deviation of stock price changes and the mean value of strategies is found. With full market impact, the investors tend to self-segregate into opposing groups and the introduction of asymmetric sensitivity leads to the disappearance of dominant strategies. Compared with the situations in the stock market with little market impact, the stock price fluctuations are suppressed and an efficient market occurs. Theoretical analyses indicate that the mechanism of phase transition from clustering to self-segregation in the present model is similar to that in the majority-minority game and the occurrence and disappearance of efficient markets are related to the competition between the trend-following and the trend-aversion forces. The clustering of the strategies in the present model results from the majority-wins effect and the wealth-driven mechanism makes the market become predictable.

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。