代表性启发式交易者市场微观结构  

Market microstructure of representative heuristic traders

作　　者：黄东新 周德清 HUANG Dongxin;ZHOU Deqing(Tandon School of Engineering,New York University,New York 11201,USA;School of Finance,Central University of Finance and Economics,Beijing 100081,China)

机构地区：[1]纽约大学坦顿工程学院,纽约11201 [2]中央财经大学金融学院,北京100081

出　　处：《纯粹数学与应用数学》2023年第4期520-534,共15页Pure and Applied Mathematics

基　　金：国家自然科学基金面上项目(12071497)。

摘　　要：本文研究了一个市场,其中所有的交易者都是代表性启发式交易者,他们过于重视新信息和当前价格.代表性启发法增加了市场深度,增加了价格的信息量,降低了知情交易者的期望效用.启发式交易导致价格对新信息反应过度,知情交易者作为动量交易者的期望效用低于不知情交易者作为反转交易者的期望效用.在有内生噪声交易者的市场中,除了相似的结论外,代表性启发法增加了噪声交易并增加了价格波动性.People use representational heuristics to make decisions all the time.We examine a market in which all traders are representational heuristics that place too much weight on new information and current prices.Representative heuristics increase market depth,increase information informativeness,and decrease the expected utility of informed traders.Heuristic trading causes prices to overreact to new information.The expected utility of an informed trader as a momentum trader is lower than that of an uninformed trader as a contrarian.In settings with endogenous noisy traders,in addition to similar insights,representational heuristics increase noisy trading and price volatility.

关 键 词：代表性启发法 噪音交易者内生化 价格过度反应 

分 类 号：O213[理学—概率论与数理统计]