摘要
在经济活动中,社会网络是个体相互交流的基础。基于资本市场的社会网络,本文通过建立股票价格的动态模型探究交易者的交流互动对股票价格的影响机制。本文应用马尔科夫过程刻画了交易者异质性预期的转换过程,并基于交易者预期、股票价格和社会互动所构成的动力系统分析得到了股票价格被低估(高估)的条件。研究结果发现价格的动态变化和交易者的交流结构密切相关,解释了股票价格的形成机制以及价格泡沫的产生与破灭过程。
In the economic activities, social networks is the basis of interaction between the agents. Based on agents＇ social net- works in financial markets, this paper develops a simple price dynamics model and explore the interaction and communication of economic agents on the stock price. We apply the Markov process to describe the transformation of agents＇ heterogeneous expectations and wc analytically obtain the condition of price being undervalued （overvalued） based on the dynamic system of agents＇ expectations, price dynamics and social interaction. Results find that the price is closely related with topologies of net- works. Furthermore, numerical simulation illustrate the mechanism of price dynamics as well as the explanation of bubbles and crashes.
出处
《投资研究》
CSSCI
2017年第5期81-91,共11页
Review of Investment Studies
基金
国家自然科学基金项目"一般跳分布下的跳扩散模型的期权定价理论及其应用"(项目号:71671094)
湖北省自然科学基金计划项目(2017CFB145)
湖北省教育厅人文社科研究项目(17G026)
关键词
社会网络
有限理性
异质性预期
价格泡沫
Social networks
Bounded rationality
Heterogeneous expectation
Bubble and crash
