论文部分内容阅读
动量和反转效应普遍存在于证券市场,且会相互转换,但两者间相互转换的特征却鲜有人知.在多数派和少数派博弈的基础上,首次引入分形市场理论对投资者决策特征进行描述,据此建立了分形博弈过程,以分析动量和反转效应转换的统计特征.研究结果表明:在三种博弈机制下,分形博弈机制下的仿真收益率序列的统计分形特征更为接近实际序列的对数收益率序列,且动量和反转效应的相互转换与真实情况也异常相似,这体现了采用分形博弈分析动量和反转效应转换的有效性,为投资者构建有效的动量或反转投资策略提供了决策参考.
Momentum and reversal effects are common in the securities market, and will be converted to each other, but the characteristics of the conversion between the two are rarely known.Based on the game of majority and minority, the introduction of fractal market theory for the first time investors decision characteristics , The fractal game process is established to analyze the statistical characteristics of momentum and reversal effect transformation.The results show that the statistical fractal characteristics of the simulation yield series under the three game mechanisms are closer to each other The logarithmic return series of the actual sequence, and the mutual conversion between momentum and reversal effects are also very similar to the real ones. This shows the validity of using fractal games to analyze the conversion of momentum and reversal effects, so as to build an effective momentum for investors or Reverse investment strategy provides a decision-making reference.