基于市场制定者的过度自信行为的市场平衡分析
Ruohan Wang1, Jing Wang1,2, Zhi Yang1,2
1College of Mathematics and Statistics, Yili Normal University, Yining, Xinjiang, China.
PloS one
|February 9, 2026
概括
这项研究引入了一个模型,其中包括各种内部交易者和过度自信的市场制定者,发现各种风险态度可以提高市场信息的效率. 不同质的交易者提高信息消化和价格形成,优于单一风险模型.
科学领域:
- 金融经济学 金融经济学
- 市场微观结构理论 市场微观结构理论
- 行为金融是行为金融.
背景情况:
- 市场制定者的过度信心和内部交易者的异质风险态度是影响市场动态的关键因素.
- 现有的模型往往简化了交易者的行为,可能会忽视复杂的互动.
研究的目的:
- 开发一个理论模型,结合异质的风险态度内幕交易者和过度自信的市场制定者.
- 分析市场制定者的过度信心对市场平衡,流动性和稳定性的影响.
- 将异质模型与单一风险态度模型进行比较,以了解信息交易动态.
主要方法:
- 构建一个理论模型,以异质的风险态度的内部交易员 (风险中立和风险回避),过度自信的市场制定者和噪音交易员.
- 异质模型和两个单一风险态度模型之间的比较分析.
- 数字模拟用于验证市场制定者的过度信心和内幕交易者行为的理论发现.
主要成果:
- 市场流动性与市场制定者的信心水平有着非单调的关系.
- 不同质模型中的内部交易者表现出更高的交易强度和利,从而导致市场信息的残余较少.
- 市场制定者的过度信心放大了内部信息的优势,而差异化的风险态度优化了信息消化.
结论:
- 内部交易者之间多样化的风险态度产生了互补效应,增强了市场稳定性和信息整合.
- 该模型表明,差异化的内部交易者策略提高了市场效率和价格形成.
- 过度自信的市场制定者,当与异质交易者互动时,可以矛盾地导致更高效的市场.
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