Market Crowd's Trading Behaviors,Agreement Price,and Volume Implications

摘要

It has been long that literature in finance focuses mainly on price and return but much less even completely ignoring on trading volume.There is no trading volume in neoclassical finance models.Contrary to the prediction of rational models of investment in a neoclassical paradigm,however,trading volume is very high on the world's stock market.Here we extend Shi's price-volume differential equation and measure the frequency of market crowd's trading action at a price by trading volume probability in the equation in terms of behavior analysis.We develop three kinds of market crowd’s trading behavioral models according to the equation,and test two behavioral hypotheses relevant to the volume uncertainty associated with price using high frequency data in China stock market.It is hardly surprising that we find: 1) market crowd,whole traders who interact among themselves with a variety of heterogeneous beliefs,preferences,and biases,accept,prefer to trade most,and reach agreement on a stationary equilibrium price widely over a trading price range on a daily basis; 2) market crowd adapt to gain and loss by volume increase or decrease in interaction with environment in an interactive feedback loop,and restore market to stationary equilibrium without delay after their trading action results in a large supply-demand imbalance,a stationary equilibrium price jump,and an expected return from time to time; 3) while significant herd and disposition "anomalies" disappear simultaneously by learning experience in a certain circumstance,other behavioral "anomalies",for examples,greed and panic,pronounce significantly in decision making.The interaction between three terms in the course of gain and loss,which includes a variety of internal and external causes,produces excessive trading volume.The volume probability behavioral annotation suggests a key link and a new mathematical method for quantitative behavioral finance.