Speculative trading, prospect theory and transaction costs
研究了具有前景理论偏好的投机者如何选择买卖时机以最大化扣除交易成本后的期望效用，发现行为偏好与市场摩擦的交互会带来反直觉的交易模式，例如提高入场费可能反而刺激投机。
Abstract A speculative agent with prospect theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximise the expected utility of the round-trip profit net of transaction costs. The optimisation problem is formulated as a sequential optimal stopping problem, and we provide a complete characterisation of the solution. Depending on the preference and market parameters, the optimal strategy can be “buy and hold”, “buy low, sell high”, “buy high, sell higher” or “no trading”. Behavioural preference and market friction interact in a subtle way which yields surprising implications on the agent’s trading patterns. For example, increasing the market entry fee does not necessarily curb speculative trading, but instead may induce a higher reference point under which the agent becomes more risk-seeking and in turn is more likely to trade.