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中文摘要：
Friedman等人认为通过市场机制,证券市场能够在长期消除非理性交易者。为了对这个观点进行严格的定量分析,本文提出了一个应用生灭过程研究非理性交易者和理性交易者共存的证券市场演化模型,用生灭过程刻画理性交易者和非理性交易者在证券市场中增减变化的动态规律。结论表明非理性交易者即使平均而言是亏损的,他们也未必在证券市场中消失,非理性交易者在市场中的生存与消亡取决于其初始财富、其进入市场的速率以及其交易的盈亏情况等多种因素。
英文摘要：
Alchian and Friedman consider that financial market should eliminate the irrational traders.This essay establishes a model adopt birth-death process to research the stock market which have rational traders and irrational traders.We studies the velocity of rational traders and irrational traders enter and quit the stock market.Based on this we can analysis the dynamic rule of the increase or decrease of the numbers of rational traders and irrational traders in stock market.Our conclusion is that the irrational traders may not be eliminated from the stock market.Their survival or disappear depend on many factors which include the initial wealth of irrational traders,the profits and losses of irrational traders,etc.
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