本文選題：記憶系數(shù) + 非線性　； 參考：《新疆大學(xué)》2017年碩士論文

【摘要】：風(fēng)險資產(chǎn)定價是金融經(jīng)濟學(xué)的主要研究問題之一,異質(zhì)信念模型是近幾十年發(fā)展起來的.本文將記憶系數(shù)嵌入非線性異質(zhì)信念函數(shù)中,通過函數(shù)可得到各類投資者對風(fēng)險證券的價格預(yù)期,從而,得到含記憶系數(shù)的非線性異質(zhì)信念函數(shù)的資產(chǎn)定價.分別討論偏好為零的三類交易者系統(tǒng)和偏好不全為為零的2H類交易者系統(tǒng).利用差分方程理論、分支理論等數(shù)學(xué)工具對動態(tài)系統(tǒng)在基本平衡解處的穩(wěn)定性和分支進行分析.并得出記憶系數(shù)具有穩(wěn)定市場功能的結(jié)論.在本文的后半部分對系統(tǒng)做實證分析,通過數(shù)據(jù)對比,發(fā)現(xiàn)該模型能很好反映金融市場統(tǒng)計特征,并且更接近真實市場.
[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.
【學(xué)位授予單位】：新疆大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：O175

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相關(guān)期刊論文 前1條

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本文編號：1985208