证券投资者交易行为的进化博弈

应用进化博弈方法,建立了证券投资者交易行为演化的进化博弈模型,分析了在长时期内投资者交易行为的动态演化过程。结果表明,投资者交易行为的演化存在多重均衡的特征,且其演化的路径选择和均衡与投资者的效用函数和证券市场的初始环境密切相关,并受到投资者对风险资产收益的不合理预期、噪声交易风险、基本面风险、理性交易成本等诸多因素的影响。

Evolutionary Game Research on Trade Behavior of Security Investors

In the paper, we build up an evolutionary game model of the trade behavior of security investors based on the method of evolutionary game theory, and analyze its dynamic evolutionary process for a long time. The results show that the characteristic of multi-equilibrium is emerged in the evolution of trade behavior. Moreover, its evolutionary path and equilibrium is closely related to the payoff function of investors and the security market's initial status, and affected such some key parameters as: the expected return of risk asset misperceived by trader, noise trade risk, fundamental risk and rational trade cost.