含记忆系数的非线性异质信念函数的资产定价

发布时间：2018-06-06 04:56

本文选题：记忆系数 + 非线性　；参考：《新疆大学》2017年硕士论文

【摘要】：风险资产定价是金融经济学的主要研究问题之一,异质信念模型是近几十年发展起来的.本文将记忆系数嵌入非线性异质信念函数中,通过函数可得到各类投资者对风险证券的价格预期,从而,得到含记忆系数的非线性异质信念函数的资产定价.分别讨论偏好为零的三类交易者系统和偏好不全为为零的2H类交易者系统.利用差分方程理论、分支理论等数学工具对动态系统在基本平衡解处的稳定性和分支进行分析.并得出记忆系数具有稳定市场功能的结论.在本文的后半部分对系统做实证分析,通过数据对比,发现该模型能很好反映金融市场统计特征,并且更接近真实市场.
[Abstract]:Risk asset pricing is one of the main research problems in financial economics. Heterogeneous belief models have been developed in recent decades. In this paper, the memory coefficient is embedded in the nonlinear heterogeneous belief function, through which the price expectation of various investors on the risk securities can be obtained, and thus the asset pricing of the nonlinear heterogeneous belief function with memory coefficient can be obtained. Three types of traders with zero preference and 2H traders with zero preference are discussed respectively. The stability and bifurcation of the dynamic system at the basic equilibrium solution are analyzed by means of the difference equation theory and bifurcation theory. The conclusion that the memory coefficient has the function of stabilizing the market is obtained. In the second half of this paper, the empirical analysis of the system, through the comparison of data, it is found that the model can well reflect the statistical characteristics of financial markets, and closer to the real market.
【学位授予单位】：新疆大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：O175

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