Short Term Speculative Opportunity,Regulation Cost and the Security Market Over Fluctuation
短期投资机会、资金管制成本和证券市场的波动性解释

We model a market populated by two groups of traders: informed traders and uninformed traders with regulated capital fund. Positive information diffuses partially across the informed party, which generates price under reaction. This means that the uninformed can profit by trend-chasing, which may cause price over fluctuation. The more information reveled, the less profit they can make. We generate price series under different regulation forces, and find that proper regulation can correct the under reaction, and reduce over fluctuation, but the uninformed cannot necessarily make a profit.