本文针对股市噪声不断累积,强化和排除的循环过程,基于股票市场对称进化博弈链结构模型,讨论了上海证券交易所正常情况下和极端情况下采用噪声交易策略比例的博弈进化过程和进化稳定策略,并将这个动态比例过程扩展到改进的DSSW模型中,据此测算出上证股市非理性泡沫大小。研究发现,在一定条件下,市场中的噪声交易者越多,风险资产价格非理性泡沫成分越大,波动越剧烈。本文的工作为股市泡沫的分析和测度提供了新的思路和工具。
According to the circulation process ofstock noise composed ofaccumulation, strengthen and exclusion, the stable ratio of the rational and irrational investors and stable strategies of the investors are studied based on the symmetric chain model of evolutionary game. The classic model of noise trading (D S SW) is improved to calculate the irrational bubbles on shanghai stock market. It is found that more irrational investors are, the bigger the irrational bubbles are. It provides novel approaches and tools to analyze and measure stock bubbles.