基于库存出清市场价格的做市商市场模型研究  

A Market Model Research Based on Inventory Clearance Market Price

作　　者：杨志 YANG Zhi(College of Mathematics and Statistics,Yili Normal University,Yining,Xinjiang 835000,China)

机构地区：[1]伊犁师范学院数学与统计分院,新疆伊宁835000

出　　处：《伊犁师范学院学报（自然科学版）》2018年第1期18-23,共6页Journal of Yili Normal University：Natural Science Edition

基　　金：伊犁师范学院科研项目(2015YSYB18)

摘　　要：建立基于库存出清市场价格的做市商市场模型,通过考虑异质信念下的3类投资者:基本面分析者、技术分析者、做市商.其中做市商扮演两种角色:投资者和供应商,做市商利用均值回馈速度α来调整库存,以此来出清市场价格.利用动力系统的稳定性理论和分支理论,对模型进行了分析,讨论了不动点的存在性、稳定性区域以及所产生的分支,讨论了做市商不同角色对稳定性区域的影响,即对市场稳定性的影响,进而说明其对真实市场行为的影响.In this paper,we established the market dealer market model based on stock market clearing price.Considering three types of investors under the heterogeneous beliefs:fundamental analysis,technical analysis and market makers who play two roles with investors and suppliers.The market makers use average speed of feedback to adjust inventory,in order to clear the market price.We use the theory of power system stability and branch theory to analyze the model,discussing the existence of fixed point,stability region and the branch.We also discuss the market maker different roles in influencing on regional stability,which is on the stability of the market to explain its impact on real market behavior.

关 键 词：做市商 库存 均值回馈速度 稳定区域 

分 类 号：O211.9[理学—概率论与数理统计]