摘要
金融市场的竞争如同生物界一样遵循着“优胜劣汰,适者生存”生存规律。同样,股票市场中的参与者,即使都采用数学模型的方法来预测股票的价值或者价格的走势,也不会像完全理性前提下最大化自身利益那样进行决策,这是因为每个人都有很强的主观性,这最终导致他们在决策阶段往往做出的选择互不相同。但是在对财富收益的竞争中,胜出一方的市场参与者一定采用了更恰当的决策方式或者投资策略。
目前,计算实验金融学对投资者策略的研究主要集中在对投资者行为对资产价格和市场特征的影响上,而对不同投资策略下投资者的财富收益研究较少。在现实股市中追踪财富在投资者之间的流动比较困难,而通过仿真系统可以大致的模拟不同投资者的财富增长过程,对财富在不同投资者之间的流动有一个更加直观的了解。
本文构建了一个基于简单策略的人工股票市场,投资者由理性的基本面分析者和简单的随机交易者构成。通过仿真实验结果,首先,对基本面分析者分别占市场比例为10%,20%,30%情况下的市场,进行市场特征的检验,其次,对不同比例下两类投资者的平均财富收益水平和不同比例下同类型的基本面分析者的平均财富收益水平进行统计对比分析。最后,对相同比例下,同类型异质的基本面分析者之间财富差异的原因进行分析。
通过分析得出结论:1、在理性的基本面分析者占市场不同比例情况下,理性的基本面分析者的财富平均值要高于简单的随机交易者的财富平均值。2、理性的基本面分析者在市场中所占比例越少时,其所获得的财富的平均值越高。3、在理性的基本面分析者占市场比例不同的三种情况下,同类异质的理性基本面分析者之间的财富差异是由于自身对市场判断的水平差异造成的,即交易者虽然拥有关于资产价值的同样的信息,但是也有可能由解释差异等原因导致对资产价值的判断不同。
Competition in the financial markets followed the same biosphere as "survival of the fittest" law of survival. Similarly, stock market participants, even though use mathematical models to predict the value of shares or price movements, not like a completely rational maximize their own interests under the decision-making as it is because everyone have very strong subjectivity, which ultimately led to their decision-making phase often make choices different from each other. However, the proceeds of wealth in the competition, winning one of the market participants have to use a more appropriate decision-making or investment strategy.
Currently, research on investment strategies with Computational Experiment Finance are mainly focused on the impact of investor behavior on asset prices and market characteristics, while research on the investors returns under different investment strategies is less. In the real stock market, to track the flow of wealth between investors is difficult. But through the simulation system, we can roughly simulate the wealth growth process of different investors, and also we can have a more intuitive understanding of the wealth mobility between different investors.
This paper develops an artificial stock market based on small type models, investors from the rational fundamental analysis and a simple form of random traders. The simulation results: Firstly, on the fundamentals of market share accounted for respectively 10%, 20%, 30% of the market situation, to test the Market Characteristics; Secondly, to compare the average wealth level under the different ratios of two class of investors and to compare the average wealth level of fundamental analysis under three ratios. Finally, under the same proportion, to analyze the causes of wealth differences between the same type of heterogeneous fundamental analysis.
The analysis concluded that: 1, in the rational fundamental analysis accounted for the proportion of the market in different circumstances, the rational analysis of fundamentals than the average wealth of those simple random average wealth of traders. 2, rational analysis of fundamentals in the market, the smaller the proportion, they would get the higher average wealth. 3, fundamental analysis in the rational market share accounted for three different cases, the same fundamentals of heterogeneous rational difference between the wealth is due to their own judgments level on the market. That traders although have the same information on asset value, but may also explain the differences in the causes that determined the value of assets.
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