含融券的金融资产价格模型研究  

Research on Financial Asset Price Model Including Securities Lending

作　　者：杨志 王婧 Yang Zhi;Wang Jing(College of Mathematics and Statistics,Yili Normal University,Yining,Xinjiang 835000,China;Institute of Applied Mathematics,Yili Normal University,Yining,Xinjiang 835000,China)

机构地区：[1]伊犁师范大学数学与统计学院,新疆伊宁835000 [2]伊犁师范大学应用数学研究所,新疆伊宁835000

出　　处：《伊犁师范学院学报（自然科学版）》2021年第3期8-15,共8页Journal of Yili Normal University：Natural Science Edition

基　　金：新疆维吾尔自治区自然科学基金项目(2018D01C007).

摘　　要：建立了基于融券因子的多资产价格模型,利用离散动力系统的稳定性、分支理论,讨论了不动点的存在性,以及重要参数对系统模型稳定性的影响,尤其是融券因子.通过数值分析,得出融券具有减少市场价格波动,稳定市场的作用.通过与上证A股指数数据进行统计特征的比较分析,该模型可以很好地拟合真实市场数据特征.This paper establishes an asset price model of multi-asset financial market based on securities lending factor.we discuss the influence of securities lending factor on the stability of the model and the relationship between the parameters generating branching conditions by using the stability theory of difference equation.By comparing and analyzing the statistical characteristics of numerical simulation and Shanghai A-share index data,it is concluded that short selling can reduce the market fluctuation and stabilize the market through theoretical analysis.The model can well simulate the real market behavior characteristics.

关 键 词：融券 金融市场模型 稳定区域 市场特征 

分 类 号：O211.9[理学—概率论与数理统计]