基于错误决策影响因子的股票价格模型  

The research of the stock price model based on the wrong decisions impact factor

作　　者：周金革[1] 郭开仲[1] 陈娟[2] 谢飞婷 

机构地区：[1]广东工业大学管理学院,广东广州510520 [2]广东工业大学经济贸易学院,广东广州510520 [3]广州达安有限公司,广东广州510520

出　　处：《广西大学学报（自然科学版）》2013年第5期1257-1263,共7页Journal of Guangxi University（Natural Science Edition）

基　　金：国家自然科学基金资助项目(41001054);广东省哲学社科基金资助项目(090-23);广东工业大学校内项目

摘　　要：为了研究股票价格模型,本文在结合异质、有限理性投资者的假设下,将错误决策影响因子融入风险需求函数中,构建了新的基于错误决策因子的证劵价格模型;再结合微分方程理论对该模型进行了推导和证明。最后,利用Matlab对引入错误决策影响因子的证劵价格模型进行了数值仿真。结果表明,引入错误决策影响因子的证劵价格模型,减少了价格波动性,提高了收益率的稳定性,降低了市场的系统风险。In order to study the stock price model, based on the assumption that investors are heter- ogeneous and boundedly rational, an adaptive mis-pricing risk-tolerance factor is designed and intro- duced into investors＇ demand function. Then based on the market maker mechanism, an improved stock price model is obtained. Volatility of the improved model and the previous one is analyzed. Theoretical analysis and numerical simulation results show that the time series of price, risk demand and returns generated by this improved model have smaller volatilities. It is conelued that the intro- duction of the adaptive ntis-pricing risk-tolerance factor helps to reduce systemic risk of stock market.

关 键 词：做市商 错误决策影响因子 波动 自适应 

分 类 号：O29[理学—应用数学]