| 套利利润最大化的博弈行为 |
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| 引用本文： | 冯明磊.套利利润最大化的博弈行为[J].广州大学学报(自然科学版),2005,4(6):482-486. |
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| 作者姓名： | 冯明磊 |
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| 作者单位： | 广州大学,数学与信息科学学院,广东,广州,510006 |
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| 摘 要： | 从EMH的三大理论基础之一的套利者假说入手，从套利者的力量和动机两方面，对EMH提出了质疑，并且在假设套利者力量足够的前提下，用博弈模型对套利者的行为进行分析，证实了缺乏约束的套利者行为会使市场更加不稳定。
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| 关 键 词： | EMH 行为金融 套利博弈模型 |
| 文章编号： | 1671-4229(2005)06-0482-05 |
| 收稿时间： | 2005-01-13 |
| 修稿时间： | 2005年1月13日 |
Game of maximum of arbitrage profit |
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| FENG Ming-lei.Game of maximum of arbitrage profit[J].Journal og Guangzhou University:Natural Science Edition,2005,4(6):482-486. |
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| Authors: | FENG Ming-lei |
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| Institution: | School of Mathematics and Infommtion Science, Guangzhou University, Guangzhou 510006, China |
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| Abstract: | EMH theory used to be a great impetus to world finance, but it is being attacked by behavioral finance from both theory and demonstration. My work focuses on the basic assumption that arbitrageurs have their power and their motivation. Then we suppose that arbitrageurs have enough power, study their behavior with a game model, and find indulged arbitrageurs will make the market more fluctuated. |
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| Keywords: | EMH behavioral finance arbitrage game model |
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