基于做市商过度自信行为的市场均衡分析

摘要

针对做市商的过度自信行为对金融市场的影响,通过建立的数学模型对市场均衡时的价格波动、市场交易量、价格质量、市场深度以及市场参与者的利润做了相应的分析.结果表明:做市商的过度自信行为对市场的影响不同于以往研究中过度自信的信息交易者.在市场均衡时,做市商的过度自信行为使得市场交易量增大、市场深度增大、价格质量改善,同时价格波动降低,即做市商的过度自信行为提高了市场的流动性、稳定性与有效性.另外,市场中的信息交易者与噪音交易者都能从做市商的过度自信行为中获利,但同时过度自信行为会损害做市商的利益,影响其在市场中的地位.较小程度的过度自信不会使做市商退出市场,其对市场的影响得以维持；但当这种过度自信达到一定程度后,做市商就会退出市场.%In this paper, we set up a model to examine how the behavior of overconfident market maker affects the market and analyze price volatility, trading volume, price quality, market depth and the profit of market participants in market equilibrium. The result indicates that the effect of the behavior of overconfident market maker on the market is not the same as overconfident informed trader in previous studies. In market equilibrium, overconfident market maker increases trading volume and market depth, improves price quality, and reduces price volatility. So the overconfidence of market maker increases market liquidity, strengthens market stability and efficiency. Besides informed trader and noise trader can both make profit from this behavior. But meanwhile it impairs the benefit of market maker and affects his status in the market. When the degree of overconfidence is not strong, the market maker will still be in the market and its effect on market will maintain. However, when the degree of overconfidence is too strong, and exceeds a certain threshold, the market maker will be out of the market.