市场操纵与噪声交易  

Market manipulation and noise trading

作　　者：曾庆铎[1] 刘善存[1] 张强[2] 辛荣[3] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191 [2]北京化工大学经济管理学院,北京100029 [3]鲁东大学商学院,烟台264025

出　　处：《系统工程理论与实践》2017年第3期589-596,共8页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71371023;71371024)~~

摘　　要：基于DSSW模型的非有效市场构架,在信息市场操纵和社交网络的环境下,内生化情绪噪声交易者的投资决策,给出并分析跟随者与噪声交易者之间的均衡.结论显示:知情交易者操纵市场会增加价格的信息含量;非知情交易者操纵市场给价格带来噪声,价格的信息含量先增后减.适度悲观情绪是导致噪声交易者跟随交易的充分条件.此外,市场可能收敛到无噪声交易者、无跟随交易者、或噪声交易者和跟随交易者共存三种均衡状态.Based on the inefficiency market structure of DSSW model, this paper derives and analyzes the equilibrium between followers and noise traders by endogenising the strategies of noise traders under the situation of manipulation and social network. Our study draws conclusions that informed manipulation enhances the price informativeness, while uninformed manipulation brings noise to price, which results in price informativeness increasing first and then decreasing. Moderate pessimism functions as the sufficient condition for the noise traders to follow. Furthermore, market may converge to three kinds of equilibrium with no noise traders, no followers, or coexistence of followers and noise traders.

关 键 词：市场操纵 噪声交易 社交网络 投资情绪 均衡 

分 类 号：F830.9[经济管理—金融学]