含逆风者的资产价格模型及实证分析  

Asset price Model with Headwind and Empirical Analysis

作　　者：杨志 王婧 YANG Zhi;WANG Jing(College of Mathematics and Statistics,Yinling Normal University,Yining 835000,China)

机构地区：[1]伊犁师范大学数学与统计分院,新疆伊宁835000

出　　处：《数学的实践与认识》2021年第8期98-106,共9页Mathematics in Practice and Theory

基　　金：新疆维吾尔自治区自然科学基金(2018D01C007)。

摘　　要：扩展了传统的异质代理商模型,加入逆风者,丰富了投资者类型,形成新的资产价格内生演化机制模型.讨论了不动点的存在性,以及相对应的稳定区域.通过数值分析,对比模型(1),模型(2)在不动点处的稳定区域,以及股票市场指数的统计特征;得出逆风者的参与可以减少市场价格的波动,即具有稳定市场的作用;同时,本模型可以更好地模拟中国股票市场的统计特征.In this paper,we add the headwind to form a new endogenous evolution mechanism model of asset prices,which is extended the traditional heterogeneous agent model.The existence of fixed point and corresponding stable region are discussed.Through numerical analysis,the stable region of model(1),model(2) at fixed point and the statistical characteristics of stock market index are compared.It is concluded that the participation of the headwind can reduce the market price fluctuation and stabilize the market.At the same time,this model can better simulate the statistical characteristics of China stock markets.

关 键 词：逆风者 稳定性分析 统计特征 

分 类 号：F224[经济管理—国民经济] F832.51