非有效市场中趋势驱动资产价格的波动估计  

Asymptotic Behaviour of a Markovian Switched Volterra-type Mean Reversion Equation Modellingan Inefficient Market

作　　者：赵佃立[1] 

机构地区：[1]上海理工大学理学院,上海200093

出　　处：《上海理工大学学报》2014年第2期121-128,共8页Journal of University of Shanghai For Science and Technology

基　　金：国家自然科学基金资助项目(11271260)

摘　　要：建立了具有马氏调制非有效市场趋势驱动的资产价格模型.利用随机分析和Volterra方程的有关理论,对模型的非线性项为有界函数、幂函数和极限形式幂函数这3种情况下的价格波动进行估计.结果表明,投资者整体投资趋势对资产价格的波动估计起到了决定性作用.Based on the discrete speculation model,a trend-driven Markovian-modulated model for an ineffective market was established. By using the theory of stochastic analysis and Volterra equation, the model was analysed in cases of the bounded nonlinear term, the power nonlinear term and the limit form power nonlinear term. The results show that the overall investment trend plays a decisive role on the asset price limited behavior.

关 键 词：非有效市场 均值回复 马氏切换 随机扰动 

分 类 号：F830[经济管理—金融学]