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Game Theory Analysis on Chinese Stock Market

Author: ChengLing
Tutor: Wu??GaoHongWei
School: Qingdao University
Course: Finance
Keywords: Cooperative Game Coalition Nash’s equilibrium Behavior Strategy Stock Game Experiment
CLC: F832.5
Type: Master's thesis
Year: 2003
Downloads: 492
Quote: 1
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Some of classical analytical methods about Security market, including stock market have Mean-Variance analytics, APT theory, CAPM model, B-S options pricing model, etc. At the same time, some new modern methods emerged and joined this process with the appearance of newly rising subjects and the continuous penetration of crossed subjects, such as artificial nerves network, data envelopment analysis, etc. All of these have brought fresh view angles and great impact to security market analysis.Game theory is one of these methods. As a kind of theory studying how to get optimal strategies by using precise mathematics methods under conflicts and rivalry circumstances, it had great application values and has been widely used in fields of military science, sociology, biological evolution, etc. But there are no other subjects like economics depending on it so greatly, we even can say it’ s hard to separate them form each other.What has happened in stock market is in fact an enormous game, so game theory can be used as an effective analytics to stock market. Laboratory simulation to stock market by using economics experiments methods is applied in this dissertation. Currently, there are seldom similar records about suchexperiments in the civil, natural science and arts science including game theory, economics, psychology and logic have been involved in the experiment program designs and experiment outcome analysis, this is one of important innovation in this paper.Research emphases have been poured on the process of forming coalitions, allocation of payoffs among the members in coalitions in cooperative games, observing the differences between theory anticipation and practice and analyzing inevitability of these differences.The main outcomes, innovation and breakthrough in theory in this paper lie in the following aspects:1, In the past economics lectures of applying game theory to analyze economic systems are mainly limited in the field of Non-cooperative game, however, they have been originally extended to the field of cooperative game in this paper.2, Banzhaf-Coleman index value is defined for the first time and compared with some classical theory value such as Shapley value.3,Game theory analytics has been applied to improve Mean-Variance method of H. M. Markowitz in fields of zero-sum game and Non zero-sum game. With the appearance of Nash’ s equilibrium, it will more effectively consider the relationships of returns and risk simultaneously and make .it become an more effectiveanalyt ics.4,Experiments method has been introduced in game theoryanalysis. More importantly it will activate a bunch of gametheories existing, eliminate differences between anticipationin theory and practice and realize the true combinations of gametheory and economics.5, Regard stock market as a multi-players Non zero-sum game. Itwill have great significance by applying game theory analyticsto this market, including any other markets which haverelationships of competitions and cooperationCheng ling(Finance) Directed by Wu haihua & Gao hongwei

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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