模型很漂亮啊,恭喜楼主拨云见日,行为金融学里像这样的文章走在很前列,接下来就是加点实证了!
关于市场参与者的情况倒是有问题想请教:因为个人感觉做市商更多状况下是谨小慎微而不是过去自信,if market makers are overconfident then they must also have obtained the same amount and level of insider information as of their aggresively trading counterparties...thus if both parties are engaged in the "skirmish" around the genuine fundamental insider/public information by holding different views, and eventually one party wins over another by significant price movements (away from equilibrium), can we say the market efficiency is achieved? or can we assume that there are mean reversals afterwards?