交易行为的类型与一个行为模型  

Trading Behavior Styles and a Behavior Model

作　　者：黄峰[1] 杨朝军[1] 胡微微[2] 

机构地区：[1]上海交通大学安泰管理学院,上海200052 [2]浙江传媒学院,杭州310018

出　　处：《系统工程理论方法应用》2005年第5期477-480,共4页Systems Engineering Theory·Methodology·Applications

基　　金：国家自然科学基金资助项目(70373053)

摘　　要：依据行为金融学的研究方法从信念角度出发区分交易者行为类型,进而探讨股价的形成机制。基于投资者在信息处理中存在系统性认知偏差,对不知情交易者为何成为交易策略相反的正反馈交易者和保守交易者进行了分析。通过行为模型,得出与传统理性市场观点不同的结论,在追逐信息租金过程中,不知情交易者的不完全理性对我国股价有显著影响,并对过度反应现象给出相应解释。Based on cognitive psychology and prospect theory, this paper analyses the three types of stock-traders in the qualitative perspective and mathematical model： Informed traders who are composed mainly of institutional investors; positive feedback traders and conservative traders both of which are uninformed and come mainly from the group of individual investors. By a behavior model we can get a quite different result from rational market theory： Those irrational traders would have a significant influence on stock prices along the process of pursuing information rent. Overreaction phenomenon can be interpreted by a viewpoint of positive feedback.

关 键 词：正反馈交易者 知情交易者 保守交易者 认知偏差 信息租金 

分 类 号：F830.91[经济管理—金融学]