CAJ | 학술논문

羊群行为是一种非理性的投资者行为，表现为投资者之间行为策略相互作用和相互依存的博奕过程。运用元胞自动机对学习模仿概率随着收益率变化与信息冲击而更新等条件下，投资者的相互学习模仿机制进行演化模拟分析，得出市场投资者之问的互相模仿行为是导致市场整体供需剧烈波动的内在原因。羊群行为具有不稳定性和脆弱性，会导致金融市场价格的不稳定性、脆弱性和收益率分布尖峰厚尾以及杠杆效应。
양군행위시일충비이성적투자자행위，표현위투자자지간행위책략상호작용화상호의존적박혁과정。운용원포자동궤대학습모방개솔수착수익솔변화여신식충격이경신등조건하，투자자적상호학습모방궤제진행연화모의분석，득출시장투자자지문적호상모방행위시도치시장정체공수극렬파동적내재원인。양군행위구유불은정성화취약성，회도치금융시장개격적불은정성、취약성화수익솔분포첨봉후미이급강간효응。
Herd behavior is one kind of non-rational investment behaviors, displays the gambling process which the behavior strategies between investors affect and depend on each other mutually. This paper mainly aims at mutual study and imitation between the rational and the non-rational investors, and considers the study and imitation＇s probability can renew with the return and the change of information impact. The conclusions indicate that the mutual imitation behavior between the market investors is the intrinsic reason of fierce volatility in stock market, the return distribution has the characteristic of leptokurtosis and heavy tails, and the herd behavior is the important factor that causes the leverage effect.