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.
