投资者异质性和相互作用对期货市场价格发现的影响:基于动态系统和稳定性分析

IF 4.5 3区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE
Qingbin Gong, Zhe Yang, Xundi Diao
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引用次数: 0

摘要

本文研究了期货市场中交易行为对价格发现的影响。提出了一个带有差分方程的动力学模型来描述异质投资者之间的相互作用和现货期货的共同演化。用数学方法分析了系统的平衡状态和稳定条件。在均衡状态下,期货价格和现货价格同时向基本价值靠拢。稳定性条件是收敛过程和价格发现函数的必要条件。为了确保稳定条件,投资者有限理性、风险偏好和市场流动性等因素需要满足特定的关系。研究结果表明,套利并不总是有利于市场稳定和价格发现。在某些情况下,这可能会增加价格波动。如果投资者具有高度的理性,他们倾向于高强度地转换交易策略,这可能会破坏市场的稳定。仿真结果表明,当不满足稳定条件时,会发生复杂的动力学。它为期货市场的复杂现象提供了理论见解。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Impacts of investor heterogeneity and interactions on price discovery in futures markets: Based on dynamical system and stability analysis

Impacts of investor heterogeneity and interactions on price discovery in futures markets: Based on dynamical system and stability analysis

This paper investigates the impacts of trading behaviors on price discovery in futures markets. A dynamical model with difference equations is proposed to depict the interactions of heterogenous investors and the spot-futures coevolution. The system equilibrium and its stability conditions are mathematically analyzed. In the equilibrium, the futures price and the spot price converge to the fundamental value simultaneously. Stability conditions are necessary for the convergence process as well as the price discovery function. To ensure stability conditions, factors such as investor bounded rationality, risk appetites and market liquidity need to satisfy specific relationships. As the findings show, the arbitrage is not always beneficial to market stability and price discovery. It may increase price fluctuations in some cases. If investors have high degree of rationality, they tend to switch trading strategies with high intensity, which may destabilize the market. The simulations suggest the occurrence of complicated dynamics when stability conditions are violated. It provides theoretical insights into complicated phenomena in futures markets.

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来源期刊
Annals of Operations Research
Annals of Operations Research 管理科学-运筹学与管理科学
CiteScore
7.90
自引率
16.70%
发文量
596
审稿时长
8.4 months
期刊介绍: The Annals of Operations Research publishes peer-reviewed original articles dealing with key aspects of operations research, including theory, practice, and computation. The journal publishes full-length research articles, short notes, expositions and surveys, reports on computational studies, and case studies that present new and innovative practical applications. In addition to regular issues, the journal publishes periodic special volumes that focus on defined fields of operations research, ranging from the highly theoretical to the algorithmic and the applied. These volumes have one or more Guest Editors who are responsible for collecting the papers and overseeing the refereeing process.
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