德州扑克大小

香港科技大学信息系统、商务统计和营运管理系副教授张晓泉学术研讨会:“不完美世界中的理性经济人:反馈交易与市场偏差的动态模型”

时间: 2015-09-23 09:03 来源: 作者: 字号: 打印

主题: Homo Economicus in an Imperfect World: A Dynamic Model of Feedback Trading with Market Deviations(不完美世界中的理性经济人:反馈交易与市场偏差的动态模型

主讲人:张晓泉,香港科技大学信息系统、商务统计和营运管理系副教授

日期:2015年9月23日(周三)

时间:上午10:00-11:30

地点德州扑克大小 金融德州扑克大小 4号楼101教室

语言:英文

摘要:

This paper proposes a new way to relax the Efficient Market Hypothesis (EMH). We assume the existence of some market deviations and use a continuous-time model to study feedback trading. Without making assumptions of cognitive biases, the model is able to offer some insights on the interactions between market participants when the market is not always efficient. We show that a market deviation is the necessary condition for feedback trading to influence market efficiency. Compared to a market without deviations, information gets incorporated into price more slowly. Positive feedback makes the market more efficient, but at the same time allows higher insider expected profit. Negative feedback induces lower market efficiency, and is more detrimental to market stability. Since our rational-expectations framework does not assume any form of market efficiency, it is possible to endogenously generate bubbles and crashes from the model.

主讲人简介:

Xiaoquan (Michael) Zhang is Associate Professor of Information System, Business Statistics and Operations Management, Hong Kong University of Science and Technology. Professor Zhang received a MSc. in Management from Tsinghua University in 1999, and a Ph.D. in Management from Massachusetts Institute of Technology in 2006. His current research interests are Entrepreneurship and Innovation, IT in Financial Markets and Social media. His papers have appeared in Journal of Interactive Marketing, American Economic Review, MIS Quarterly, Management Science and other leading finance journals.