发帖
雷达卡
摘要翻译：
本文引入了两种资产（有风险和无风险）的超指数金融泡沫模型，其中理性投资者和噪声交易者共存。理性投资者对风险资产的收益和风险形成预期，并在风险资产相对于无风险资产的配置中最大化其恒定相对风险厌恶预期效用。噪音交易者受到社会模仿，跟随动量交易。考虑随机时变的羊群倾向，我们能够再现金融市场的几个众所周知的程式化事实，如收益的肥尾分布和波动性的聚类。特别是，我们观察到瞬态快于指数的气泡增长，具有近似对数周期行为，并给出了从我们的框架中得出这一结论的分析论据。该模型很好地解释了交易者的行为和1995-2000年网络泡沫期间的价格动态。动量策略被证明是暂时有利可图的，支持这些策略作为增强羊群行为。
---
英文标题：
《Super-exponential endogenous bubbles in an equilibrium model of rational
and noise traders》
---
作者：
T. Kaizoji, M. Leiss, A. Saichev and D. Sornette
---
最新提交年份：
2014
---
分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
---
英文摘要：
We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which rational investors and noise traders co-exist. Rational investors form expectations on the return and risk of a risky asset and maximize their constant relative risk aversion expected utility with respect to their allocation on the risky asset versus the risk-free asset. Noise traders are subjected to social imitation and follow momentum trading. Allowing for random time-varying herding propensity, we are able to reproduce several well-known stylized facts of financial markets such as a fat-tail distribution of returns and volatility clustering. In particular, we observe transient faster-than-exponential bubble growth with approximate log-periodic behavior and give analytical arguments why this follows from our framework. The model accounts well for the behavior of traders and for the price dynamics that developed during the dotcom bubble in 1995-2000. Momentum strategies are shown to be transiently profitable, supporting these strategies as enhancing herding behavior.
---
PDF链接：
https://arxiv.org/pdf/1109.4726
提升卡
置顶卡
沉默卡
变色卡
抢沙发
千斤顶
显身卡
京公网安备 11010802022788号
