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逆向与趋势跟随行为下的市场势能形态

文章 arXiv papers · 作者: Dong Han Kim et al.
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总结

本文用市场势能函数描述资产价格走势，并基于自由能最小化原理推导出两种大致形态。当逆向行为占主导时，势能呈 U 形；趋势跟随更普遍时，势能则被描述为平坦或类似对数的形态。该框架将势能形态与投资者行为的相对平衡联系起来。

在实证分析中，作者使用周期调整市盈率研究长期市场数据。他们报告了 US 市场势能的历史变化，并比较了 12 个国家的形态，指出日本的势能尤其平坦。近期 US 数据似乎更符合趋势跟随形态。简短介绍没有说明估计方法，也未证明这些势能形态能够预测收益或支持盈利策略。

核心观点

  • 研究使用市场势能函数刻画资产价格走势。
  • 逆向行为占主导时，市场势能呈 U 形。
  • 趋势跟随者较多的市场，其势能呈平坦或类似对数的形态。
  • 实证分析使用周期调整市盈率和长期市场数据。
  • 报告比较了 US 和 12 个国家的情况，并称日本的势能非常平坦。

标签

股票趋势跟踪均值回归统计学美国市场
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# Distribution of the asset price movement and market potential


# Distribution of the asset price movement and market potential









In this article we discuss the distribution of asset price movements by the market potential function. From the principle of free energy minimization we analyze two different kinds of market potentials. We obtain a U-shaped potential when market reversion (i.e. contrarian investors) is dominant. On the other hand, if there are more trend followers, flat and logarithmic--like potentials appeared. By using the Cyclical Adjusted Price-to-Earning ratio, which is a common valuation tool, we empirically investigate the market data. By studying long term data we observe the historical change of the market potential of the US stock market. Recent US data shows that the market potential looks more likely as the trending followers' potential. Next, we compare the market potentials for 12 different countries. Though some countries have similar market potentials, there are specific examples like Japan which exhibits very flat potential.

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。