發(fā)布時(shí)間：2018-06-23 00:58

  本文選題：資產(chǎn)價(jià)格系統(tǒng) + 延遲��； 參考：《江南大學(xué)》2014年碩士論文

【摘要】：隨著我國(guó)經(jīng)濟(jì)的發(fā)展，我國(guó)的金融市場(chǎng)也將會(huì)有更大的發(fā)展與突破。面對(duì)著諸多機(jī)遇和挑戰(zhàn)，我國(guó)金融市場(chǎng)急需科學(xué)的理論作指導(dǎo)。通過(guò)對(duì)金融市場(chǎng)上諸多現(xiàn)象的觀察，本文先后討論了二維的帶有延遲的資產(chǎn)價(jià)格系統(tǒng)的脈沖控制，三維的帶有多延遲的股票價(jià)格系統(tǒng)的脈沖控制，構(gòu)建了五維的多延遲的資產(chǎn)價(jià)格-利潤(rùn)模型，從不同的角度探討了金融市場(chǎng)資產(chǎn)價(jià)格的復(fù)雜現(xiàn)象。 研究表明脈沖控制的二維的帶有延遲的資產(chǎn)價(jià)格系統(tǒng)，三維的帶有多延遲的股票價(jià)格系統(tǒng)，五維的多延遲的資產(chǎn)價(jià)格-利潤(rùn)模型在探究問(wèn)題的不同方法上表現(xiàn)出了各自的優(yōu)越性。本文的研究主要包括以下幾個(gè)方面： （1）給出原有的資產(chǎn)價(jià)格系統(tǒng)，通過(guò)對(duì)脈沖控制穩(wěn)定性的進(jìn)一步探討，討論了一個(gè)二維的帶有延遲的連續(xù)資產(chǎn)價(jià)格系統(tǒng)的脈沖控制。首先，針對(duì)交易者的參量及時(shí)滯，分析了脈沖控制的資產(chǎn)價(jià)格系統(tǒng)所具有的特征。其次，通過(guò)構(gòu)建Lyapunov函數(shù)，給出了脈沖系統(tǒng)的全局指數(shù)穩(wěn)定的保守條件。 對(duì)二維脈沖系統(tǒng)進(jìn)行數(shù)值模擬，并對(duì)模擬結(jié)果進(jìn)行了數(shù)值分析。仿真結(jié)果與理論分析相一致，說(shuō)明了脈沖控制的資產(chǎn)價(jià)格模型在金融市場(chǎng)上的應(yīng)用價(jià)值。 （2）考慮到在金融市場(chǎng)條件下，基本價(jià)格同市場(chǎng)需求緊密關(guān)系，并且基本價(jià)格會(huì)依賴于市場(chǎng)需求做出調(diào)整。在原有的資產(chǎn)價(jià)格系統(tǒng)的基礎(chǔ)上，通過(guò)對(duì)脈沖控制穩(wěn)定性的探討，討論了一個(gè)三維的帶有多延遲的股票價(jià)格系統(tǒng)的脈沖控制。同樣是先針對(duì)交易者的參量及時(shí)滯，，分析了脈沖控制的股票價(jià)格系統(tǒng)所具有的特征。其次，通過(guò)構(gòu)建Lyapunov函數(shù)，給出了脈沖系統(tǒng)的全局指數(shù)穩(wěn)定的保守條件。 對(duì)三維脈沖系統(tǒng)進(jìn)行數(shù)值模擬，并對(duì)模擬結(jié)果進(jìn)行了數(shù)值分析。仿真結(jié)果與理論分析相一致，說(shuō)明了脈沖控制的股票價(jià)格模型在金融市場(chǎng)價(jià)格穩(wěn)定性的探求過(guò)程中有著重要的應(yīng)用價(jià)值。 （3）考慮到我國(guó)金融市場(chǎng)的復(fù)雜性，基于金融市場(chǎng)上存在著股票價(jià)格和利潤(rùn)，提出并研究了五維的多延遲的金融市場(chǎng)價(jià)格-利潤(rùn)連續(xù)動(dòng)力系統(tǒng)模型，該模型優(yōu)化了離散的異結(jié)構(gòu)模型,同時(shí)考慮了波動(dòng)的基本面價(jià)格下的基礎(chǔ)交易者和趨勢(shì)跟隨者根據(jù)利潤(rùn)的自適應(yīng)轉(zhuǎn)化行為，文章分析了延遲的線性近似微分系統(tǒng)的特征方程，進(jìn)行了參數(shù)分岔分析，給出系統(tǒng)出現(xiàn)分岔行為及局部穩(wěn)定的條件。理論結(jié)果顯示不僅基礎(chǔ)交易者和趨勢(shì)跟隨者的不同行為，而且波動(dòng)的基本面價(jià)格都會(huì)對(duì)市場(chǎng)不穩(wěn)定性產(chǎn)生影響。 對(duì)含多延遲的復(fù)雜價(jià)格—利潤(rùn)系統(tǒng)進(jìn)行數(shù)值模擬，并對(duì)模擬結(jié)果進(jìn)行了數(shù)值分析。仿真結(jié)果進(jìn)一步說(shuō)明了帶延遲的價(jià)格—利潤(rùn)模型所具有的特征，從而也證實(shí)了這種模型在描繪金融市場(chǎng)價(jià)格穩(wěn)定性動(dòng)態(tài)上的實(shí)用價(jià)值。
[Abstract]:With the development of our economy, our financial market will also have greater development and breakthrough. Faced with many opportunities and challenges, China's financial market urgently needs scientific theoretical guidance. Through the observation of many phenomena in the financial market, this paper has discussed the pulse control of the asset price system with delay in two dimensions and the pulse control of the stock price system with multiple delays in three dimensions. A five dimensional multi-delay asset price-profit model is constructed and the complex phenomena of asset price in financial market are discussed from different angles. The results show that the impulse-controlled two-dimension asset price system with delay, the three-dimensional stock price system with multi-delay, The five-dimensional multi-delay asset price-profit model shows its own advantages in different methods of exploring the problem. The research in this paper mainly includes the following aspects: (1) the original asset price system is given, and the stability of pulse control is further discussed. The pulse control of a two-dimensional continuous asset price system with delay is discussed. Firstly, the characteristics of the impulsive control asset price system are analyzed according to the traders' parameters and time delay. Secondly, the conservative condition of global exponential stability of impulsive systems is given by constructing Lyapunov function. The two-dimensional pulse system is numerically simulated and the simulation results are analyzed. The simulation results are consistent with the theoretical analysis, and the application value of the impulse control asset price model in the financial market is explained. (2) considering the close relationship between the basic price and the market demand under the financial market conditions, And basic prices will depend on market demand to make adjustments. On the basis of the original asset price system, the impulsive control of a three dimensional stock price system with multiple delays is discussed by discussing the stability of impulse control. At the same time, the characteristics of the stock price system based on impulsive control are analyzed in terms of the traders' parameters and delays. Secondly, the conservative condition of global exponential stability of impulsive systems is given by constructing Lyapunov function. The three-dimensional pulse system is numerically simulated and the simulation results are analyzed. The simulation results are consistent with the theoretical analysis, which shows that the impulse control stock price model has important application value in the process of exploring the price stability of the financial market. (3) considering the complexity of the financial market in China, Based on the existence of stock price and profit in the financial market, this paper proposes and studies a five-dimensional multi-delay model of price-profit continuous dynamic system in financial market. The model optimizes the discrete dissimilar structure model. At the same time, considering the basic trader and trend follower under the fluctuating fundamental price, according to the adaptive transformation behavior of profit, the characteristic equation of the delay linear approximate differential system is analyzed, and the parameter bifurcation analysis is carried out. The conditions for bifurcation behavior and local stability of the system are given. The theoretical results show that not only the behavior of the basic trader and the trend follower is different, but also the fluctuation of the fundamental price will affect the market instability. The complex price-profit system with multiple delays is numerically simulated, and the simulation results are analyzed. The simulation results further illustrate the characteristics of the price-profit model with delay, which also proves the practical value of the model in describing the price stability dynamics of financial markets.
【學(xué)位授予單位】：江南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.5;F224

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