一类做市商存货控制与资产定价模型的研究

发布时间：2018-04-25 14:14

本文选题：做市商定价模型 + 存货控制　；参考：《上海交通大学》2013年硕士论文

【摘要】：本文基于做市商和投资者共同参与的金融市场，投资者们根据预期收益不断地更新自己的投资策略，在基本面分析策略和技术分析策略之间进行选择，而资产价格的调整与市场的超额需求成正相关等基本假设下，建立了一类在投资者信念互异的金融市场中的资产定价模型，即一个拥有做市商、基本分析者、技术分析者、噪声交易者等角色的动态自适应变化的资产定价模型。主要研究这个模型中做市商的存货管理以及投资者的投资策略选择会怎样地影响到资产定价的动力学性质。在忽略噪声交易者等随机因素的情况下，对这个数学模型相应的确定性系统我们进行了定性分析和分支分析，，得到确定性系统的由基准价格和做市商库存目标所组成的基本不动点稳定性以及在基本不动点稳定性边界上的Neimark-Sacker分支，基本不动点的稳定体现在实际模型里价格将收敛于基准价格而Neimark-Sacker分支则体现在价格的周期性振荡的现象。在有噪声交易者时，这个数学模型是一个随机动力系统，我们对其进行数值模拟，发现投资者技术分析策略对价格预期的趋势外推程度对市场的稳定性有至关重要的作用。本文的理论研究结果和数值结果揭示出：对于做市商这个在市场里既充当资产流通量的保证者，又充当投资者的角色，在投资者的采取强趋势外推的技术分析策略的情况下，适当地控制库存调整速度对市场将有的稳定作用。
[Abstract]:Based on the participation of market makers and investors in financial markets, investors constantly update their investment strategies according to expected returns, and choose between fundamental analysis strategies and technical analysis strategies. Based on the assumption that the adjustment of asset prices is positively related to the excess demand of the market, a class of asset pricing models in financial markets with different investor beliefs is established, that is, a market maker, a basic analyst, a technical analyst. A dynamic and adaptive asset pricing model for noise traders and other roles. This paper mainly studies how the inventory management of market makers and the choice of investors' investment strategy will affect the dynamic properties of asset pricing in this model. In the case of ignoring the random factors such as noise traders, we carry out qualitative analysis and branch analysis for the deterministic system corresponding to this mathematical model. The basic fixed point stability and the Neimark-Sacker bifurcation on the boundary of the basic fixed point stability of the deterministic system are obtained, which consist of the benchmark price and the market-maker inventory target. The stability of the basic fixed point is reflected in the fact that the price will converge to the reference price in the actual model while the Neimark-Sacker branch is reflected in the periodic oscillation of the price. In the presence of noise traders, this mathematical model is a stochastic dynamic system, which is numerically simulated. It is found that investor technical analysis strategy plays an important role in the trend extrapolation of price expectations for the stability of the market. The theoretical results and numerical results of this paper reveal that the market maker, who acts as both the guarantor and the investor of the asset flow in the market, takes the strong trend extrapolation of the technical analysis strategy. Proper control of inventory adjustment speed will have a stabilizing effect on the market.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224

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