动量和反转效应广为人知,但两者之间会相互转换却鲜有人知.在少数派和多数派博弈的基础上,结合分形市场理论中投资者有限理性的特征,通过构建投资者的决策机制,建立了博弈过程,分析了动量和反转效应两者间的相互转换.研究结果表明,盈利动机驱使下,投资者在动量和反转策略集中选择成功率最高的策略进行实际投资,该种动态选择行为引致证券过度需求在正负之间转换,进而表现出动量和反转效应的相互转换.

The transformation between momentum and contrarian effects are rarely known. In this study, based on the minority and majority game, we utilized the Fractal Market Theory to describe the characteristics of investors decision-making, by building the decision-making mechanism of investors, we put forward a game process, then analyzed the transformation between momentum and contrarian effect. The results show that, when investors pursuit for the profit, dynamic selection of investors caused the transformation of momentum and contrarian effects.