基于异质信号的资产价格学习机制及均衡演化路径

本文从金融市场指令交易机制出发,将市场投资主体分为市场追随者和自我相信者两类,分析了两类投资者面对由异质分析资产价值信号形成的市场价格的学习机制,且对交易量变化以及均衡价格的达成路径进行了研究。研究表明,单期价格均衡下市场仍存在资产交易,且投资者随着均衡价格期数增加和价格精度增大逐渐撤离市场,较大的市场追随者比重将滞后混合策略市场的价格均衡期数。

Asset Pricing Learning Mechanism and Equilibrium Process on Signal's Divergent Expectation

In this paper,we divide investors in order market into two types: Market-Follower and Self-Believer.Under this division,we analyze investors' asset position strategy facing market price which is caused by public information's divergent expectation.We then study the movement of trade volume and the market price's equilibrium process.It is shown that trade volume remains under one-period equilibrium price and investors withdraw from market with persistent equilibrium prices and a larger price precision.In add...