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本文在投资者非完全理性框架下,基于Kalman-Bucy滤波学习过程给出了投资者理性和自信程度的定义,并基于此分析了不同投资者在市场中的生存和影响能力,并为实际市场中多类投资者共存的现象从学习过程的角度给予解释。研究结果表明,投资者在市场中的生存能力受其在学习过程中的理性和自信程度的双重影响。理性和自信程度都较高的投资者对市场把握较好,较容易在市场中生存,并对市场具有较大的影响。如果理性程度较高的投资者不自信,而理性程度不高的投资者自信度较高,那么在这种情况下没有哪类投资者对市场的把握相对准确,也就是说没有哪类投资者能将其他投资者逐出市场,即多类投资者共存于市场中。
Based on the Kalman-Bucy filtering learning process, this paper gives the definition of investor’s rationality and self-confidence under the framework of incompletely rational investors. Based on this, it analyzes the different investors’ survival and influence in the market, The coexistence of many types of investors in the phenomenon from the perspective of learning process to explain. The results show that the survivability of investors in the market is affected by both their rationality and self-confidence in the learning process. Investors with a high degree of rationalism and self-confidence hold a good grasp of the market, are more likely to survive in the market, and have a greater impact on the market. If more rational investors are not self-confident, while less rational investors are more confident, then in this case there is no type of investor to grasp the market is relatively accurate, that is, no type of investor Other investors can be driven out of the market, that is, many types of investors co-exist in the market.