本文選題：做市商定價(jià)模型 + 存貨控制��； 參考：《上海交通大學(xué)》2013年碩士論文

【摘要】：本文基于做市商和投資者共同參與的金融市場(chǎng)，投資者們根據(jù)預(yù)期收益不斷地更新自己的投資策略，在基本面分析策略和技術(shù)分析策略之間進(jìn)行選擇，而資產(chǎn)價(jià)格的調(diào)整與市場(chǎng)的超額需求成正相關(guān)等基本假設(shè)下，建立了一類在投資者信念互異的金融市場(chǎng)中的資產(chǎn)定價(jià)模型，即一個(gè)擁有做市商、基本分析者、技術(shù)分析者、噪聲交易者等角色的動(dòng)態(tài)自適應(yīng)變化的資產(chǎn)定價(jià)模型。主要研究這個(gè)模型中做市商的存貨管理以及投資者的投資策略選擇會(huì)怎樣地影響到資產(chǎn)定價(jià)的動(dòng)力學(xué)性質(zhì)。在忽略噪聲交易者等隨機(jī)因素的情況下，對(duì)這個(gè)數(shù)學(xué)模型相應(yīng)的確定性系統(tǒng)我們進(jìn)行了定性分析和分支分析，，得到確定性系統(tǒng)的由基準(zhǔn)價(jià)格和做市商庫存目標(biāo)所組成的基本不動(dòng)點(diǎn)穩(wěn)定性以及在基本不動(dòng)點(diǎn)穩(wěn)定性邊界上的Neimark-Sacker分支，基本不動(dòng)點(diǎn)的穩(wěn)定體現(xiàn)在實(shí)際模型里價(jià)格將收斂于基準(zhǔn)價(jià)格而Neimark-Sacker分支則體現(xiàn)在價(jià)格的周期性振蕩的現(xiàn)象。在有噪聲交易者時(shí)，這個(gè)數(shù)學(xué)模型是一個(gè)隨機(jī)動(dòng)力系統(tǒng)，我們對(duì)其進(jìn)行數(shù)值模擬，發(fā)現(xiàn)投資者技術(shù)分析策略對(duì)價(jià)格預(yù)期的趨勢(shì)外推程度對(duì)市場(chǎng)的穩(wěn)定性有至關(guān)重要的作用。本文的理論研究結(jié)果和數(shù)值結(jié)果揭示出：對(duì)于做市商這個(gè)在市場(chǎng)里既充當(dāng)資產(chǎn)流通量的保證者，又充當(dāng)投資者的角色，在投資者的采取強(qiáng)趨勢(shì)外推的技術(shù)分析策略的情況下，適當(dāng)?shù)乜刂茙齑嬲{(diào)整速度對(duì)市場(chǎng)將有的穩(wěn)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.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.91;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前2條

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