《Structural Estimation of Behavioral Heterogeneity》
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作者:
Zhentao Shi, Huanhuan Zheng
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最新提交年份:
2018
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英文摘要:
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information about the fundamental value, the agents form different evaluations about heterogeneous strategies. We exploit a thin set---a small sub-population---to pointly identify this nonlinear model, and estimate the structural parameters using extended method of moments. Based on the estimated parameters, the model produces return time series that emulate the moments of the real data. These results are robust across different sample periods and estimation methods.
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中文摘要:
我们建立了一个行为资产定价模型,其中代理人在存在信息摩擦的市场中进行交易。利润最大化的代理根据动态市场条件在交易策略之间切换。由于关于基本价值的私人信息嘈杂,代理对异构策略形成不同的评估。我们利用一个小的子种群来有针对性地识别这个非线性模型,并使用扩展的矩量法估计结构参数。基于估计的参数,该模型生成模拟真实数据时刻的返回时间序列。这些结果在不同的样本期和估计方法中都是稳健的。
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Trading and Market Microstructure 交易与市场微观结构
分类描述:Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构,流动性,交易和拍卖设计,自动化交易,基于代理的建模和做市
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一级分类:Economics 经济学
二级分类:Econometrics 计量经济学
分类描述:Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论,微观计量经济学,宏观计量经济学,通过新方法发现的经济关系的实证内容,统计推论应用于经济数据的方法论方面。
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