Study on the formation of anomalies in securities market under rational human being hypothesis

摘要：

From the perspective of efficient market, the existence of anomalies in securities business indicates the lack of market efficiency. This paper puts forward the forming model of anomalies in securities market under rational human being hypothesis. And then it uses some models to analyze the formation mechanism of securities business of overreaction and under reaction with simulation method and theoretical deduction. Finally, it gives two basic methods to eliminate these anomalies, that the investors should change their original expectations through the learning and banish the source of “policy market.

作者: Beiyou Li Weidong SU Sifeng Liu

作者单位: College of Economics and Management, Nanjing University of Aeronautics and Astronautics, 29#, Yudao College of Economics and Management, Shangdong institute of light industry, Shandong province, China College of Economics and Management, Nanjing University of Aeronautics and Astronautics, Nanjing, Ji

会议类型: 国际会议

会议名称: 2009 IEEE International Conference on Grey System and Intelligent Services(2009 IEEE灰色系统与服务科学国际会议)

会议地点: 南京

会议语种:英文

页码: 1705-1709

在线出版日期: 2009-10-20（万方平台首次上网日期，不代表论文的发表时间）