Abstract: The price of international crude oil is of significance for the economic steady growth of China. In the angle of behavioral finance, based on not only introducing rational arbitrageur but also relaxing the assumption that the number of positive feedback trader is equal to the rational trader, this paper designs a positive feedback trade model of international crude oil future market which includs four kinds of trader in order that it could reveal the mechanism that rational speculator manipulates the crude oil market and the trade between the rational speculator and other participant leads to the crude oil price volatility. Finally, the paper verifies the conclusions by numerical simulation. The results show that the rational speculator can manipulate the oil price according to the supply-demand change of international crude oil market, but the rational arbitrageur will hedge oil price volatility in opposite direction. Therefore, the number of passive investor becomes a weight which determines oil price, up or down.If the rational speculator dominates the crude oil market, it will further manipulate the oil price in line with the positive feedback effect of the crude oil price volatility which comes from the positive feedback trader and enlarge the crude oil price volatility range at last. Therefore, we can forecast international crude oil price volatility according to the trader’s behavior of the international crude oil futures market.

Key words: behavior financial, international crude oil price volatility, positive feedback model, speculation

摘要： 国际原油价格高低对我国经济平稳增长意义重大。本文从行为金融视角,在引入理性套利者和假设正反馈交易者与理性交易者数量之比是变化基础上,构建了包含四类交易者的国际原油期货市场正反馈交易模型,揭示了理性投机者操纵市场并与其他类市场参与者的交易行为导致油价波动的机理,最后用数值模拟验证了结论。结果表明:国际原油市场供求变化提供了理性投机者操纵油价的基础,但理性套利者会反方向对冲油价波动,于是,消极投资者数量成为决定油价上涨或下跌的砝码。此外,若理性投机者主导市场,其会利用正反馈交易者关于油价波动形成的正反馈效应加大对油价操纵力度,最终扩大油价波动幅度。因此,从国际原油期货市场交易者行为角度可以预测油价波动。

关键词: 行为金融, 国际原油价格波动, 正反馈模型, 投机