摘要
从市场的微观结构出发,结合行为金融的理论与分析方法,研究了竞价市场的股票价格形成机制通过分析股票价格的波动与形成过程以及股票的供求变化规律,解释了股价波动的随机性、跳跃性、趋势性、反转性、周期性和心理性特征,并建立了竞价市场股票定价过程的数学模型,模型揭示了在外部冲击的作用下,股价会形成上下两个均衡价格,并在两个均衡价格之间围绕平均期望上下波动,最后收敛于平均期望。
This paper, taking Shanghai and Shenzhen Stock Market as the objects of research, analyzed the rule of supply and demand for shares and the driven force for shares' fluctuation with the analytical frame of market microslructure and behavioral finance, and established a mathematical model for pricing process on order-driven markets. The model shows: (1)There are two equilibrium prices (up and down) , and between them shares' prices fluctuate around their mean expectation. Ultimately shares' prices converge at their mean expectations. (2) The price level of shares is determined by the structure of traders.
出处
《管理科学》
CSSCI
2005年第2期52-57,共6页
Journal of Management Science
关键词
竞价市场
价格机制
市场微观结构
噪声交易
正反馈交易
Order-driven market
Pricing mechanism
Market microstructure
Noise trading
Positive feedback trading
