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理性投资与噪音交易的博弈问题一直是现代金融学分歧的焦点。本文采用套利进化博弈模型和多重动态均衡博弈模型,讨论理性投资与噪音交易的博弈过程,认为噪音交易与理性套利都是金融市场运行不可或缺的条件,交易者在不同时期以不同概率选择噪音交易策略或理性套利策略,噪音交易者和理性套利者的数量和比例是动态的,二者长期共存的博弈行为形成了金融市场的多重对称纳什均衡,解释了噪音交易与理性套利同时存在的现象。
The game between rational investment and noise trading has always been the focus of disagreement in modern finance. In this paper, the arbitrage evolutionary game model and the multiple dynamic equilibrium game model are used to discuss the game process of rational investment and noise trading. It is considered that both the noise trading and the rational arbitrage are the indispensable conditions for the operation of the financial market. Traders choose noise with different probabilities at different periods The number and proportion of noise traders and rational arbitrageurs are dynamic, and the long-term coexistence of the two forms the multiple symmetric Nash equilibrium of financial markets, which explains the coexistence of noise trading and rational arbitrage .