基于ABM模型的投资者情绪与投资决策分析
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摘要
ABM开辟了经济金融及管理复杂决策研究的新途径。建立ABM模型,研究投资者情绪与投资决策之间的内在传导机制。通过在模型中引入异质性的情绪因子,对投资者决策行为受投资情绪的影响以及由此引起的金融市场波动进行分析,并采用MATLAB软件对所建立的理论模型进行模拟。模拟结果表明:投资者情绪的波动与金融市场非理性泡沫之间的内在关联显著,并据此提出在投资决策中采取反向调控情绪的投资策略是有效的。
ABM has opened up new ways of economic finance and management of complex decisionmaking research. This article constructs an ABM model to analyze the inherent mechanism between investor sentiment and investment decisions. Based on heterogeneous investor sentiment,an ABM model is established to find out how the investor sentiment can influence the investment decision and financial market volatility,and use MATLAB software to simulate the theoretical model. The result shows that there is inner link between investor sentiment and irrational bubble. Thus it concludes that the investment strategy of counter-regulation moods is effective.
ABM has opened up new ways of economic finance and management of complex decisionmaking research. This article constructs an ABM model to analyze the inherent mechanism between investor sentiment and investment decisions. Based on heterogeneous investor sentiment,an ABM model is established to find out how the investor sentiment can influence the investment decision and financial market volatility,and use MATLAB software to simulate the theoretical model. The result shows that there is inner link between investor sentiment and irrational bubble. Thus it concludes that the investment strategy of counter-regulation moods is effective.
引文
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[9]詹姆斯·托宾,斯蒂芬·S.戈卢布.货币、信贷与资本[M].张杰,陈未,译.大连:东北财经大学出版社,2000:11-12.
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[15]罗伯特·J·希勒.非理性繁荣[M].李心丹,等,译.北京:中国人民大学出版社,2014:4-5.
[2]DELONG J B,SHLEIFER A,SUMMERS L,et al.Noise trader risk in financial markets[J].Journal of Political Economy,1990,98(4):703-738.
[3]FAMA E,FRENCH K.Common risk factors in the returns on bonds and stocks[J].Journal of Financial Economics,1993,33(1):3-56.
[4]CARHART M.On persistence in mutual fund performance[J].Journal of Finance,1997,52(1):57-82.
[5]LEE W Y,JIANG C X,INDRO D C.Stock market volatility,excess returns,and the role of investor sentiment[J].Journal of Banking&Finance,2002,26:2277-2299.
[6]BLAKE Le Baron.Heterogeneous gain learning and the dynamics of asset prices[J].Journal of Economic Behavior&Organization,2012,83(3):424-445.
[7]池丽旭,张广胜,庄新田,等.投资者情绪指标与股票市场——基于扩展卡尔曼滤波方法的研究[J].管理工程学报,2012(3):122-129.
[8]王国成.低碳发展催生人与自然交互的经济学新观念[J].重庆理工大学学报(社会科学),2016(4):18-23.
[9]詹姆斯·托宾,斯蒂芬·S.戈卢布.货币、信贷与资本[M].张杰,陈未,译.大连:东北财经大学出版社,2000:11-12.
[10]YU J F,YUAN Y.Invertor sentiment and mean-Variance relation[J].Journal of Financial Economics,2011,100(2):367-381.
[11]陈其安,朱敏,赖琴云.基于投资者情绪的投资组合模型研究[J].中国管理科学,2012(6):47-56.
[12]SHEFRIN H,STATMAN M.Behavioral capital asset pricing theory[J].Journal of Financial and Quantitative Analysis,1994,29(3):323-349.
[13]SUMMER L H.Does the stock market rationally reflect fundamental value?[J].Journal of Finance,1986,41:591-601.
[14]PORTERBA J M,SUMMERS L H.The persistence of volatility and stock market fluctuations[J].American Economic Review.1986,76(5):1142-1151.
[15]罗伯特·J·希勒.非理性繁荣[M].李心丹,等,译.北京:中国人民大学出版社,2014:4-5.