本文在投资者非完全理性框架下,基于Kalman-Bucy滤波学习过程给出了投资者理性和自信程度的定义,并基于此分析了不同投资者在市场中的生存和影响能力,并为实际市场中多类投资者共存的现象从学习过程的角度给予解释。研究结果表明,投资者在市场中的生存能力受其在学习过程中的理性和自信程度的双重影响。理性和自信程度都较高的投资者对市场把握较好,较容易在市场中生存,并对市场具有较大的影响。如果理性程度较高的投资者不自信,而理性程度不高的投资者自信度较高,那么在这种情况下没有哪类投资者对市场的把握相对准确,也就是说没有哪类投资者能将其他投资者逐出市场,即多类投资者共存于市场中。
Within the framework of the bounded rationality, the survival ability and market impact of investors are studied with the learning process of the Kalman-Bucy filter, the rational level and confident level of an investor are defined and an explanation to the coexistence phenomenon of different investors in the financial market is given. The results show that the survival ability of an investor depends on his rational and confident levels both. The more rational and more confident an investor is, the higher his survival probability is, and furthermore, the larger his market impact is. If an investor with a high rational level is not confident but the other investor with low rationality is very confident, then nobody has a comparatively accurate estimation about the future return of the risky asset. In this case, it is too hard to say who can survive in the market and in fact, different investors will coexist and control the market in turn.
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