含逆风参数的两类价格动态模型及实证分析

发布时间：2018-04-17 05:15

本文选题：逆风参数 + 稳定区域　；参考：《新疆大学》2013年硕士论文

【摘要】：本文首先扩展了含两类投资者的异质预期做市商库存动态模型,提出了一个含逆风参数的三类投资者的异方差动力系统模型(RMI)。模型中把投资者类型分为三类,即基本面分析者,顺风者和逆风者。模型中加入的逆风参数由上一时期的逆风参数和市场价格共同决定。并根据差分方程理论,对模型的确定性系统进行局部渐近稳定性及分支分析,获得了主要参数对模型稳定性的影响。其次,对含市场情绪的自适应资产价格模型加入逆风参数(这里的逆风参数是逆向投资者在图表分析者中所占比例),并分析加入逆风参数后模型的稳定区域及价格波动机制。在一定范围内,逆风者所占比例增加,则局部稳定区域的面积增大；稳定市场价格的作用增强。从而验证了逆风者具有稳定市场的作用。实证分析中,对新建的RMI模型和原做市商库存动态模型对比分析,并在实际市场中选取上证A股市场上具备2010年4月15日至2011年4月15日有完整数据的所有股票为研究对象,用统计检验等方法对股票的收益序列进行正态性分析,并分析验证资产收益序列的尖峰厚尾性、长记忆性等金融数据特征。对比发现,RMI模型能更好得模拟金融市场上的经济特征。
[Abstract]:In this paper, we first extend the heterogeneous expected market maker inventory dynamic model with two types of investors, and propose a dynamic heteroscedasticity dynamic system model for three classes of investors with headwind parameters.In the model, investors are divided into three types, namely, the fundamental analyst, the downwind and the headwind.The headwind parameters added to the model are determined by the headwind parameters and the market price in the previous period.According to the difference equation theory, the local asymptotic stability and bifurcation analysis of the deterministic system are carried out, and the influence of the main parameters on the stability of the model is obtained.Secondly, an adaptive asset price model with market sentiment is added with the headwind parameter (here the headwind parameter is the proportion of the reverse investors in the chart analyzer), and the stable region and the price fluctuation mechanism of the model after adding the headwind parameter are analyzed.In a certain range, the proportion of the headwind increases, the area of the local stable region increases, and the role of stabilizing the market price increases.This proves that the headwind has the function of stabilizing the market.In the empirical analysis, the new RMI model and the original market maker inventory dynamic model are compared and analyzed. In the actual market, all the stocks with complete data from April 15, 2010 to April 15, 2011 are selected as the research objects.This paper analyzes the normality of stock return series by means of statistical test, and analyzes and verifies the characteristics of financial data such as peak, thick tail, long memory and so on.It is found that the RMI model can better simulate the economic characteristics of financial markets.
【学位授予单位】：新疆大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.91;O212.1

【共引文献】