投资者参考点的形成机理及其演化特征研究：基于实验与计算仿真的方法

项目名称： 投资者参考点的形成机理及其演化特征研究：基于实验与计算仿真的方法

项目编号： No.71201113

项目类型： 青年科学基金项目

立项/批准年度： 2013

项目学科： 管理科学与工程

项目作者： 李悦雷

作者单位： 天津大学

项目金额： 22万元

中文摘要： 随着近些年来参考点理论在关于过度波动、动量效应以及处置效应等市场行为研究中的广泛应用，已经有越来越多的证据表明参考点对人们的投资决策行为有着十分重要的影响，目前关于参考点的形成机理及其演化特征的研究已经成为国际前沿的一个研究方向，对于此问题的研究具有十分重要的理论价值和现实意义。本申请拟采用实验与计算仿真相结合的研究方法，同时考虑投资者的地缘与市场环境等因素，以具有中国证券市场特征的情景为例，构建一套人机互动计算实验平台；探究限理性框架下基于预期的参考点建模理论；通过真人实验获取投资者典型的行为特征、拟合关键参数、校准计算仿真模型；然后通过大规模计算仿真来探索参考点的形成机理及其演化特征的更为一般的规律。本研究可以更好地从微观个体行为的层面理解金融市场复杂的宏观涌现特征，从而为金融市场政策的制定及新金融产品设计提供一定的参考和建议。

中文关键词： 参考点；计算实验金融；实验经济学；前景理论；行为金融

英文摘要： In recent years the reference-point theory has been widely employed for explaining some style facts in the market such as excess volatility, momentum effect, and position effect, etc.There are more and more evidences show that investors are highly affected by their reference-points during the decision-making process. Now this question, about the reference-point formation and evolution, has become one of the most popular and open topics internationally. So it is of great theoretical value and practical significance to support this study. In this research application, considering with the location effect and market enivroment, we focus on the investors' reference-points formation and evolution under the Chinese security market condition by employing the experimental and agent-based simulation approaches. As well as developing a theoretical reference-point model with expectations under the boundedly rational theoretical frame. We employ experimental contexts to get some representative behavior characters, and to fit some important parameters, and to calibrate the agent-based model. Then we use the agent-based simulation at large-scale for learning some universal conclusions. Finally, we can insight the complexity of the macro behaviors in financial market from the individual perspective, and propose some consultati

英文关键词： reference-point；agent-based computational finance；experimental economics；prospect theory；behavioral finance