帶機構參與的金融市場從眾行爲數理模型

Mathematical Model of Herd Behaviour in Financial Marker with Institution

10.6704/JMSSD.2009.6.2.26

王忠玉(Zhong-Yu Wang)；趙振全(Zhen-Quan Zhao)

金融市場 ； 機構投資者 ； 模仿從眾 ； Financial market ； Investor of institution ； Herd behavior

管理科學與統計決策

6卷2期（2009 / 06 / 01）

26 - 31

繁體中文

本文在對投資行為人分為三種類型，即非專業投資者、專業投資者、專家經紀人的基礎之上，探討一種不帶模仿從眾行為的金融市場模型，並給出其長時期均衡的條件。然後，在這種模型基礎上考察帶有模仿從眾行為的數理模型，其目的是闡述由不同類型投資者參與的市場行為，比如非對稱資訊和交易者之間相互模仿從眾的影響。

In this paper, we research mathematical model of not having herd behavior on the basis of dividing investors into 3 types, and find out the conditions of the long run equilibrium. We focus on the market behavior of diverse investors in which the model has herd behavior, for explain asymmetry information and investors imitate each other.

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