英文标题：
《Do investors trade too much? A laboratory experiment》
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作者：
Joao da Gama Batista, Domenico Massaro, Jean-Philippe Bouchaud, Damien
Challet, Cars Hommes
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最新提交年份：
2015
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英文摘要：
We run experimental asset markets to investigate the emergence of excess trading and the occurrence of synchronised trading activity leading to crashes in the artificial markets. The market environment favours early investment in the risky asset and no posterior trading, i.e. a buy-and-hold strategy with a most probable return of over 600%. We observe that subjects trade too much, and due to the market impact that we explicitly implement, this is detrimental to their wealth. The asset market experiment was followed by risk aversion measurement. We find that preference for risk systematically leads to higher activity rates (and lower final wealth). We also measure subjects\' expectations of future prices and find that their actions are fully consistent with their expectations. In particular, trading subjects try to beat the market and make profits by playing a buy low, sell high strategy. Finally, we have not detected any major market crash driven by collective panic modes, but rather a weaker but significant tendency of traders to synchronise their entry and exit points in the market.
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中文摘要：
我们运行实验性资产市场，以调查过度交易的出现以及导致人工市场崩溃的同步交易活动的发生。市场环境有利于对风险资产进行早期投资，不进行后期交易，即买入并持有策略，最有可能的回报率超过600%。我们观察到，受试者交易过多，由于我们明确实施的市场影响，这对他们的财富不利。资产市场实验之后是风险规避测量。我们发现，对风险的偏好系统性地导致更高的活动率（以及更低的最终财富）。我们还测量了受试者对未来价格的预期，发现他们的行为与预期完全一致。特别是，交易主体试图通过低买高卖的策略来击败市场并获取利润。最后，我们没有发现由集体恐慌模式驱动的任何重大市场崩盘，而是交易员在市场上同步进入和退出点的较弱但显著的趋势。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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