标准普尔100指数股票的非线性价格动力学
Nonlinear price dynamics of S&P 100 stocks
摘要：
所提出的方法提供了一种定量的方式来描述特定资产类别和时间段内的投资者行为和价格动态。该方法适用于由2004-2018年标准普尔100指数股票的超过250，000个数据点组成的数据集。使用双向固定效应模型，我们发现交易者的动机，包括在一个统一的设置下的反应不足和过度反应的证据。回报和趋势之间存在非线性关系，表明小的正趋势会增加回报，而大的趋势会减少回报。非线性的形状参数量化了交易者买入趋势或等待便宜货的动机。该方法允许测试任何行为金融学偏见或技术分析概念。
英文摘要：
The methodology presented provides a quantitative way to characterize investor behavior and price dynamics within a particular asset class and time period. The methodology is applied to a data set consisting of over 250,000 data points of the S&P 100 stocks during 2004-2018. Using a two-way fixed-effects model, we uncover trader motivations including evidence of both under- and overreaction within a unified setting. A nonlinear relationship is found between return and trend suggesting a small, positive trend increases the return, while a larger one tends to decrease it. The shape parameters of the nonlinearity quantify trader motivation to buy into trends or wait for bargains. The methodology allows the testing of any behavioral finance bias or technical analysis concept.
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