锚定心理影响期货市场价格的数理模型  

Mathematical model about the impact of the anchoring psychology on futures market price

作　　者：王书平[1] 邝雄[2] 郑春梅[1] 

机构地区：[1]北方工业大学经济管理学院,北京100144 [2]中国人民大学经济学院,北京100872

出　　处：《系统工程理论与实践》2012年第3期614-620,共7页Systems Engineering-Theory & Practice

基　　金：教育部人文社会科学研究青年基金(08JC790004);北京市属市管高等学校人才强教计划(PHR20110869);北京市教委学科与研究生教育专项基金(PXM2010-014212-093659)

摘　　要：锚定心理是金融市场中投资者的一种非理性心理,对投资者的判断及金融产品价格有重要影响.结合期货市场的特征,并依据锚定心理产生的不充分调整启发式模型,以交易者获得的初始信息为锚定点,建立了锚定心理影响投资者交易及期货均衡价格的数理模型.分析发现,锚定心理的存在会增加期货合约的交易量,造成短期期货均衡价格偏离理性条件下的理论值,从而使期货价格的价格发现功能和期货市场有效性受到影响.The anchoring psychology is one of unreasonable psychologies existing in the financial market, which has important influence on the traders＇ decision-makings and the prices of the financial products. Combining with the characteristics of tile futures market, this paper establishes a mathematical model about the impact of the anchoring psychology on the traders＇ trading behaviors and the short-term futures market price. This model is set based on the insufficient-adjustment-heuristic model which generated by anchoring psychology, and the anchoring point is the initial information obtained by traders. The analysis shows that the existence of anchoring psychology will increase the trading volume of futures contracts, resulting in short-term futures prices deviate from the theoretical value under the rational conditions, so that the price discovery function of futures prices and the effectiveness of futures market be affected.

关 键 词：期货市场 锚定心理 调整启发式 投机 套利 数理模型 

分 类 号：F830[经济管理—金融学]