| Dynamics Evolution of Trading Strategies of Investors in Financial Market | |
Wu, Binghui ; Duan, Tingting; He, Jianmin
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| 2018-04 | |
| 发表期刊 | COMPUTATIONAL ECONOMICS
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| 卷号 | 51期号:4页码:743-760 |
| 摘要 | This paper analyzes investors' trading strategies based on the theory of evolutionarily stable strategies and replicator dynamics model. Under the assumptions closer to a real market, we reveal the relationships between the investor's price anticipation and equilibrium sustained state. If the mean value of price deviation anticipated by investors is a negative value, there is one equilibrium sustained solution. And if the mean value of price deviation anticipated by investors is a positive value, one equilibrium sustained solution or two equilibrium sustained solutions are likely to appear in our models. This research is beneficial to evaluate differences in revenues between rational traders and noise traders, to understand dynamic evolutionary process of trading strategies, and to find equilibrium sustained solution. In addition, financial crisis as an exogenous factor is introduced into the evolutionary model. Based on theoretical analysis and simulation experiment, the results show that case 3 in theoretical analysis does not occur in the simulation after the outbreak of financial crisis, and case 1 and case 2 in theoretical analysis correspond to the different regions of the anticipated price deviation curves. Moreover, the changes of two equilibrium sustained solutions show opposite tendency characteristics with an increasing of the mean value of price deviation of risk asset. Relative to the existing research results, this paper distinguishes the different yield between risk assets and riskless assets, and considers the existence of transaction cost, assumes investors having different risk aversion coefficient, and takes financial crisis as an example to research the impacts of exogenous variables on investors' trading strategies. Through comparative analysis, the conclusions drawn from simulation experiment are consistent with equilibrium sustained solutions in theoretical analysis. |
| 关键词 | Limited rationality Evolutionarily stable strategy Equilibrium sustained solution Investor anticipation |
| DOI | 10.1007/s10614-016-9639-3 |
| 收录类别 | SCI ; SCOPUS ; SCIE ; SSCI |
| ISSN | 0927-7099 |
| 语种 | 英语 |
| WOS研究方向 | Business & Economics ; Mathematics |
| WOS类目 | Economics ; Management ; Mathematics, Interdisciplinary Applications |
| WOS记录号 | WOS:000427078800001 |
| 出版者 | SPRINGER |
| 原始文献类型 | Article |
| EISSN | 1572-9974 |
| 引用统计 | |
| 文献类型 | 期刊论文 |
| 条目标识符 | http://ir.lzufe.edu.cn/handle/39EH0E1M/11453 |
| 专题 | 金融学院 财务处（项目管理办公室） |
| 作者单位 | 1.Southeast Univ, Sch Econ & Management, Nanjing 211189, Jiangsu, Peoples R China; 2.Lanzhou Univ Finance & Econ, Dept Finance, Lanzhou 730020, Gansu, Peoples R China |
| 推荐引用方式 GB/T 7714 | Wu, Binghui,Duan, Tingting,He, Jianmin. Dynamics Evolution of Trading Strategies of Investors in Financial Market[J]. COMPUTATIONAL ECONOMICS,2018,51(4):743-760. |
| APA | Wu, Binghui,Duan, Tingting,&He, Jianmin.(2018).Dynamics Evolution of Trading Strategies of Investors in Financial Market.COMPUTATIONAL ECONOMICS,51(4),743-760. |
| MLA | Wu, Binghui,et al."Dynamics Evolution of Trading Strategies of Investors in Financial Market".COMPUTATIONAL ECONOMICS 51.4(2018):743-760. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 文献类型 | 版本类型 | 开放类型 | 使用许可 | ||
| 15495.pdf（982KB） | 期刊论文 | 出版稿 | 暂不开放 | CC BY-NC-SA | 请求全文 | |
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