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从交易者过度自信的角度分析了不完全理性交易行为对金融资产短期价格行为的影响并建立了相应的数学模型.分析表明:金融市场上即便信息是对称的,但若存在较大比例的不完全理性交易者,那么金融资产的短期价格变化过程与交易者完全理性情形下的短期价格行为有显著差异;存在过度自信交易行为情形下的金融资产短期价格显著高于资产的内在价值.此外,由于存在“有限套利”现象,因不完全理性交易行为引致的短期价格偏差可能得不到迅速纠正.
From the point of overconfidence of traders, the author analyzes the influence of incomplete rational trading on the short-term price behavior of financial assets and establishes the corresponding mathematical model.The analysis shows that even if the information is symmetrical in the financial market, if there is a large proportion Completely rational traders, the short-term price change process of financial assets is significantly different from the short-term price behavior of traders in a completely rational situation; the short-term price of financial assets under excessively confident trading behavior is significantly higher than the intrinsic value of assets.In addition, Due to the “limited arbitrage” phenomenon, short-term price deviation due to incomplete rational trading may not be corrected promptly.