Nem racionalis magatartas

8/4/2019 Nem racionalis magatartas

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A nem racionlis magatarts nhny jellegzetes pldja a tkepiacokon

Az albbiakban elbb az rn vett viselkedstpusok kzl hozok nhnyra pldt,aztn ms, eddig nem emltett gyakori tvedseket is bemutatok, vgl mindezt egysszefoglal brn is bemutatom.

Az egyszersg kedvrt az azonnali rszvnypiacra s nha a nyersanyagpiacokra,ezen bell is a long gyletekre korltozom a pldkat, ahol lehet.

1. A viszonytsi pont hatsa: a befektetk sokszor elkvetik azt a hibt, hogy nem azalapjn dntenek egy meglv pozcival kapcsolatban, hogy a jelenben mi trtnik;helyette az hatrozza meg a gondolkodsukat, hogy hol szlltak be. Ennek szmoshtrnya van, pldul:

1.1. Majd eladom, ha pluszba kerlk jelensg.1.2. Ha nyeresgbe r a pozci, akkor vrok mg egy kicsit, hogy legyen is rajtavalami.

2. Az elsllyedt kltsgek hatsa: hasonl az elzhz. Az, hogy nagy vesztesgben van egypozci, alapveten vltoztat a befektetk tbbsgnek hozzllsn, pedig a piacot alegkisebb mrtkben sem rdekli, hogy milyen ron vsrolt be valaki.

2.1. Az emberek nem szeretnek veszteni. Ez rthet. A tzsdn viszont nagy ra vanannak, ha valaki csak nyeresgben hajland kiszllni. Sokan nrtkelsi krdst


2/15

csinlnak abbl, hogy vgl nyertek-e; a pnzszerzst azzal trstjk, hogy igazukvolt-e vagy sem, ezrt inkbb vllalnak irracionlis vesztesgeket is, csak hogy nerezzenek szgyent maguk s msok eltt. Ennek legrosszabb kimeneteleire lejjebblthatunk majd nhny pldt.

2.2. Szlssgesen nagy esseknl ez tovbbi torzulsokat okoz, j plda erre az utbbi

hnapok OTP-mozgsa: aki 10 000 forint krli szintrl tartja, annak szinte mindegy,hogy rvidtvon mi trtnik, hiszen a napi 100-200 forintos rsv csak a bekerlsi r1-2%-t jelenti; ha viszont valaki 2500 forint krl vett, annak a bekerlsi rranzve ez 4-8% mozgst jelent! Elvileg tkletesen rdektelen, hogy valaki milyenrszintrl tart 1000 rszvnyt, hiszen azok jelenbeli rtke ettl nem vltozik, amagasabb bekerlsi r befektet mgis kevsb aggdik a mozgs miatt (semmise mlik ezen a nhny szz forinton).

3. Elktelezettsgi hats: szintn az eddigiekbl szrmaztathat, de fleg fordtott esetbenltvnyos: ha valaki jkor vsrol, s a rszvnyt egy hatalmas emelkedsben vgigmegtartja, akkor j esllyel tl sokig marad benne, mert mindig egyre feljebb vrja, s ahozz fzd tapasztalatok miatt nem akar megvlni tle. Erre mondjk, hogy beleszeret

a paprba. Ennek van aztn ilyen eredmnye:

Vagy ilyen:


3/15

Egy kis kitekints Japnra:

Ez a ragaszkods teht rossz esetben egy egsz letre szl kapcsolatt is nhet. Aki 26 vvelezeltt vett japn tzsdeindexet, annak a befektetse pontosan ugyanannyit r, mint akkor.Arra ne is gondoljunk, hogy ez relrtkben micsoda vesztesget jelent.


4/15

Az ezredforduln tetz dotcom-lufi utn az ezeket a cgeket legjobban mr NASDAQindex alakulsa:

Az index mostani rtke alig negyedannyi, mint kilenc vvel ezeltt.

4. rvnyessgi eltlet: a pillanatnyi hatsok dntseknl val fellslyozsa az idtvokmsik vglethez vezet minket: amikor egy-kt ra vagy akr percek alatt nagy vltozskvetkezik be, sokan nem mrlegelik a dntseket, s engedik, hogy a mohsg vagy aflelem vezesse ket. Ez termszetesen felfel s lefel is igaz.4.1. Napon belli nagy emelkedseknl sokszor lehet ltni, hogy amikor a mozgs kezd

begyorsulni, sok olyan vev is feltnik, aki alacsonyabb szinteken mr hatrozottan

temette a rszvnyt. Ezek a ksei vevk okozzk ltalban az emelkedsek vgnjellemz megugrst, amikor sokszor egy-kt perc alatt akkora mozgs kvetkezik be,amihez eltte rk kellettek. Fontos megjegyezni, hogy ezeknl a vteli pnikoknlgyakran nagy szerephez jutnak a shortosok is, akik korbban essre szmtva eladtak,s most veszik vissza a vesztesges pozcikat. Nluk termszetesen eddig a pontig aviszonytsi pont s az elsllyedt kltsg hatsa is rvnyeslt abban, hogy nemszlltak ki korbban. Egy plda:


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4.2. A hats gyakoribb elfordulsi tpusa a nagy esseknl figyelhet meg. Ilyenkor a

pnik egyre jobban terjed, s ahogy sokan kezdenek attl tartani, hogy a rszvny ralegalbb nullig fog esni, az addig halogatott eladsok egyszerre zdulnak a piacra.Akik eddig a fent emltett hatsok miatt nem voltak hajlandak megvlni arszvnyeiktl, azok piaci nyelven szlva amputlssal fizetnek azrt, mert fltek azinjekcis ttl. Erre nhny plda:


6/15

Oldalt lthatABK, vagyisAmbac (2008.

janur 17.),illetve BSC,vagyis BearStearns mozgsa(2008. mrcius14.), mindkett

pnzgyi cg.Utbbi csakvolt.


7/15

LEH, vagyis Lehman Brothers szeptember 9-n s 11-n:

AIG, a vilg egyik legnagyobb biztostjnak esse 2008. szeptember 15-n:


8/15

Vgezetl egy kis magyar kaszin 2006 elejrl:

A fent elmondott jelensgek szinte minden idtvon megfigyelhetek. A kvetkez charton(FPRT, Force Protection) pldul egy gyertya mr nem egy percet, hanem egy teljes napottesz ki:


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5. Tovbbi esete a nem racionlis magatartsnak, amikor a piaci szereplk valamilyen

rzelmi vagy egyb tnyez hatsra nem a bekvetkezsi valsznsggel slyozottvrhat rtkekkel szmolnak (lsd Allais-paradoxon). A kockzat emberi dntsekregyakorolt hatsrl szl Daniel Kahneman s Amos Tversky 1979-es kiltselmlete(errl bvebben:http://en.wikipedia.org/wiki/Prospect_theory ).

6. A reprezentativitsi hats jelenik meg abban, amikor valaki egyedi rszvnnyel prblrvidtvra kereskedni ahelyett, hogy hossz tv, minl alacsonyabb kockzat, minldiverzifikltabb portfolit hozna ltre. Ez az sszes lehetsges befektetsi vlasztson

bell majdnem a lehet legszlssgesebb prost jelenti, mgis sokan beleesnek ebbe ahibba.6.1. Emgtt sokszor tettenrhet az az rzs, hogy egy rszvnypiac egsze tl absztrakt,

bonyolult mechanizmusnak tnik, amihez kpest egyetlen rszvny mozgsaltszlag egyszer.

6.2. A reprezentativitsi hats akkor igazn ers, ha a befektetnek ezt az rzst emlkekis erstik: pldul els prblkozsnl a piacba fektetett, de amikor vesztesgessvlt, gyorsan kivette a pnzt, s rszvnyt vett rajta, amin pnzt keresett.

7. Ez utbbi jelensg is egy kln hibacsoportot jelent: a kezdeti benyomsok szinte freudimdon rgzlnek a befektetben. Ha eleinte volt kt j gylete Google rszvnyekkel,akkor a Google j, de ha vesztett olajon, akkor az olaj hlyesg. Tzsds krkbensokszor hallani ilyesmit. Ez a gyermekkorhoz hasonl ktds egszen sajtos dolgokbanis megfigyelhet: bizonyos rfolyammintzatok (patterns) is belekerlhetnek ezekbe a

csoportokba. Nekem pldul a kvetkez kelds volt meghatroz sokig (a BUMM!
http://en.wikipedia.org/wiki/Prospect_theoryhttp://en.wikipedia.org/wiki/Prospect_theoryhttp://en.wikipedia.org/wiki/Prospect_theory


10/15

felirat alatt)

8. A kezdeti benyomsok mly nyomokat hagynak, ugyanakkor ltalban igaz, hogy abefektet az idben tvolabbi emlkeket kisebb sllyal veszi figyelembe. Ez lehet az okaannak is, hogy ha egyms utn tbbszr is veszt a piacon, akkor elbtortalanodik.

9. Itt lp be az a hats, hogy a befektet nem kpes szembenzni azzal a tnnyel, hogy avesztesg az hibja s senki ms; inkbb abbahagyja a kereskedst, mondvn, hogy azegsz szerencsejtk, vagy legalbbis tlnyomrszt szerencse dolga.

10. Szerencsejtkos-hiba: egy kevsb gyakori, de veszlyes hiba a matematika tves

alkalmazsa. Sok rendszer szletett a Martingl-jtk tzsdei alkalmazsra, deeredmnyes alkalmazsukrl csak a reklmokban hallani. A tveds lnyege, hogy havalami egyms utn sokszor megtrtnt mr, akkor egyre valsznbb, hogy a sorozatmegszakad. Erre egy plda, hogy ha egy matematikai rtelemben fair rmvel egymsutn tzszer dobtunk fejet, akkor sokan mondjk azt, hogy most mr valsznbb az rs,hiszen ritkn ltni olyat, hogy egyms utn tizenegyszer fejet dobjunk. Ez termszetesentves rvels, aminek beltshoz elg megjegyezni, hogy az egymst kvet feldobsokmint valsznsgi vltozk tkletesen autokorrellatlanok, vagyis egymstlfggetlenek. Akit ez sem gyz meg, az elolvashatja Erds Pl s Rnyi Alfrd levezetst,amiben bebizonytottk, hogy egy n feldobsbl ll sorozatban nagy valsznsggel elkell fordulnia egy log2n hosszsg tiszta blokknak, vagyis olyan sorozatnak, amibenegyms utn ugyanaz lesz a dobs eredmnye.

11. A megbnselmlet magyarzza azt a viselkedsi mintt, hogy az emberek hajlamosaktlrtkelni sikereiket, viszont a kudarcokat mg maguknak se szvesen valljk be. Ezvezet oda, hogy jellemzen a vesztesges pozcikat tl sokig tartjk, a nyeresgeketviszont tl hamar lezrjk, holott ennek pont fordtva kellene lennie.


11/15

Most pedig nzzk ezeknek a viselkedseknek egy sszefoglal brjt:


12/15

Ennl is ltalnosabb, a piac egszt tfog pszicholgiai elemzst ad Justin Mamis, akiszakaszokra osztotta a bika-s medvepiacokat (bullmarkets, bearmarkets, emelked scskken rak).


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The Mamis Sentiment Cycle

There are two areas in a typical loop where the market does something that traders describe as "churn"or "chop", and two areas where directional trends are found.

RETURNING CONFIDENCEOn the upside, the area where churning takes place is in between the Returning Confidence phase and

the Subtle Warning phase, after a significant advance has already taken place. This often appears inthe form of a head and shoulders top on weekly or monthly charts. By the time confidence returns, themarket has already been going up for ages while the retracement patterns become ever larger, each onescarier than the last.

To technical traders, this type of price action tells us that the market is getting tired. Perceived bullmarket volatility excites investors. They waited forever on the sidelines for fundamentals to confirmthat the move up was "real". The coast is finally clear and they jump in with both feet. This phasetypically ends with a failure on test of top, and the big, super scary "buy the dip" pullback begins.

BUY THE BIG DIPThe public continues to pour money in, lured by glowing good news and economic data. After the longmove up, finding attractive stocks becomes difficult for technical traders and market veterans. Traders

chase momentum where they find it. Investors believe that the game is back on, and they are willing totake big risk and buy big dips. This Big Dip usually comes after a failed test of top in the ReturningConfidence phase. The Big Dip typically takes price below the 50-day simple moving average and quiteoften, to the 200-day moving average. This is where ABC Corrections are typically found.

ENTHUSIASMOnce it is widely accepted that economic and corporate fundamentals are supporting higher prices, abell goes off. The bull survived The Big Dip. Those who had previously been afraid now have plenty ofreasons and proof that it is safe to go back into the market and buy again.

At this point, we detect a subtle change in psychology, a shift from the fear of loss to the fear of missingout, and the appetite for risk becomes evident. Investors buy on faith, bolstered by analyst and mediareports projecting the trend to continue. As price rises to new highs, they all scream, "it is a breakout"!

They are supremely confident that the best is yet to come.

The high made in the Returning Confidence phase typically marks the point of breakout and becomes


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an important psychological number. We know this high is where sellers showed up before, and if priceshould sink below this area, traders and investors might come to the conclusion that the breakoutfailed, and therefore, begin selling in case the uptrend is approaching the point where it starts to bend.

At some point, all the buyers who want to be in the market have bought, and they stop buying. Smartmoney begins to take some off the table. The net result is rotation of buying and selling from sector to

sector, causing the major stock indexes to stop going up in any meaningful way and price charts tochurn and chop. In the old days, they called this "distribution", marking the transfer of stock fromsmart to dumb money, from strong to weak hands. This area is where a buildup of participants inposition to write sell tickets takes place. If price fails to move up or it comes back under the point ofbreakout, selling begins.

DISBELIEFThe market fails to go higher, and indeed many of the early leaders have broken down under the 50-day moving average, giving technicians the Subtle Warning. This marks the beginning of the"something is not right" gut feeling, but in the absence of bad news, investors hold on to hope. Notonly are they heavily invested in the market, they are psychologically invested in being right and theyignore anything that does not go with their worldview. Indeed, they even wonder aloud why theirbeloved stocks cannot go up amidst good news, higher earnings guidance and analyst upgrades.

OVERT WARNING TO PANICThe area of sustained directional trending price action to the downside takes place is between theOvert Warning and Panic phases. There will be some sort of catalyst. Perhaps it is an earnings warningor some point of economic data that leads the crowd to finally clue in that the nagging negative priceaction they have been watching is the beginning of something big and bad.

The 200-day moving average is broken, and CNBC alerts investors. Everyone knows that the ship issinking. Those who bought in the churning top realize they are holding the bag and stop buying thedips. Smart money shorts each failing bounce. Stop losses are hit, and margin calls force liquidation.Supply simply overwhelms demand and price action becomes a one-way street.

DISCOURAGEMENT AND AVERSIONAfter a long price slide, the area where churning takes place is between the Discouragement and theAversion phase, after a significant decline has already taken place. Often, this appears as a head andshoulders bottom, a cup and handle or a saucer dish pattern. As the public continues to dump stocks,short sellers become bold and bearish. Their views are supported by bad news and poor economicdata. Prognostication of lower prices to come is undoubted. This is when everyone knows that themarket cannot ever go up again, and that anything, even cash, is preferable to owning stocks.

WALL OF WORRYWhile the broad indices are still going down, certain sectors will have bottomed. At some point,everyone who wants to sell has done so, and the selling stops. Low prices and relative value returns,and early buyers with deep pockets begin to nibble at the market. The net effect is that the major stockindexes stop plunging and begins to dribble or moves sideways.

This area is where we find a buildup of participants in position to write buy tickets, producingpotential buy pressure. With sellers gone, the market even goes up on bad news. Rallies are labeled as"technical bounces" or are written off as "short covering". Short positions add more on every bounce,confident that lower prices are around the corner. When good news trickles in, it is summarilydismissed as aberrations, subject to revision next month.

AVERSION TO DENIALSustained directional trending action to the upside begins between the Aversion phase and the Denialphase. As the market slowly creeps up, the shorts start to sweat while those who don't own a piece ofthe action vow to themselves that they will get in on the next dip that they believe is sure to come. Themarket continues higher and does not let them in.

More and more bids materialize as buyers show up again while shorts begin to cover. Since there arenot many sellers overhead, the move up can be big and fast, and on low volume. If it keeps going,eventually those left behind in the dust have to get in again, and the loop continues.


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CONCLUSIONTake note of the way churning precedes trending as an entire group of market participants are trappedin the wrong direction. Indeed, we could argue that trends can only take place after a large group ofmarket participants have been lulled into believing the status quo will last infinitely. When the reversalfinally takes place, the ensuing mad scramble becomes a directional trend.

The sentiment loop neatly summarizes the market and all its associated psychosis in a nutshell. I usethe word psychosis on purpose, as it is medically defined as a loss of contact with reality, typicallyincluding delusions (false ideas about what is taking place or who one is) and hallucinations (seeing orhearing things which aren't there). It is the only way to describe the things that people do at the topsand bottoms. It is similar to how some people break with reality when playing games such asDungeons and Dragons, and their existence enters another realm. What we must do is to know wherewe are on the map at all times and maintain a separate sense of self by standing on the outside asimpartial observers. That is the only way to preserve sanity and to make money.

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Nem racionalis magatartas