基于策略倾向的投资者预期与做市商模型分析  

Analysis of Investor's Expectation Based on Strategy Tendency and the Market Maker Model

作　　者：孙有发[1] 李雪岩[1] 刘彩燕[1] 叶珊珊[1] 丁伟武 

机构地区：[1]广东工业大学管理学院,广东广州510520 [2]从化市吕田镇人民政府,广东从化510950

出　　处：《系统工程》2011年第11期28-33,共6页Systems Engineering

基　　金：国家自然科学基金资助项目(70801019;71171061);广东省自然科学基金资助项目(S2011010004970)

摘　　要：将"策略倾向"理念引入两类投资者的价格预期及风险资产需求函数;两类投资者同时采用两种策略,然而赋予的权重不同,然后基于做市商定价机制,得到改进的股票价格模型。理论分析及数值仿真结果表明,模型改进后:(1)价格围绕基本价值的波动聚集现象明显减弱,价格序列更接近真实股票价格;(2)收益率的"尖峰厚尾"现象更为明显,更接近真实市场的特征。Concept of strategy tendency is introduced into investors＇s expectation of price and demand function of risk assets in two classes;two classes of investors use two strategies simultaneously,but with different weights,then basing on market maker mechanism,an improved model is obtained.Theoretical analysis and numerical simulation show that after the model is improved：（1） Volatility clustering of price series around fundamental price is inconspicuous,and price series created by the improced model is closer to the real prices;（2） Distribution of return＇s excess kurtosis and fat tail are more obvious and closer to the real market.

关 键 词：管理工程 策略倾向 做市商 价格 收益率 

分 类 号：F830[经济管理—金融学]