Limit Arbitrage in Stock Market: A Model Based on Behavioral Finance
KONG Dong-Min, FENG Zhi-Jian
1.Huazhong University of Science and Technology,Wuhan,China;2. Sun Yatsen University,Guangzhou,China;3.China Insurance Regulatory Commission Shenzhen Buearu,Shenzhen,China
From the perspective of behavioral finance, this paper combines the limit arbitrage and irrational trader and makes analysis on pricing efficiency of asset. By introducing the tendency trader, we develop the model of Shleifer and Vishny (1997). With the model results, we further analyze them by simulation and find that: 1). There are nonlinear relations between the expected profit of arbitrageur and arbitrage ability or irrational degree of investor; 2). Under some conditions, the arbitrageur not only fails to stabilize the market, but increases the volatility of asset market as well.
孔东民, 冯智坚. 股票市场的有限套利:一个行为金融模型[J]. J4, 2007, 4(1): 67-.
KONG Dong-Min, FENG Zhi-Jian. Limit Arbitrage in Stock Market: A Model Based on Behavioral Finance. J4, 2007, 4(1): 67-.