基于长记忆性的资产定价模型研究  

Research on Asset Pricing Model Based on Long Memory

作　　者：候佳琦 杨志 王婧 HOU Jia-qi;YANG Zhi;WANG Jing(School of Mathematics and Statistics,Yili Normal University,Yining 835000,Xinjiang,China;Institute of Applied Mathematics,Yili Normal University,Yining 835000,Xinjiang,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：《兰州文理学院学报（自然科学版）》2024年第4期20-28,共9页Journal of Lanzhou University of Arts and Science(Natural Sciences)

基　　金：伊犁州科技计划项目(YZ2022YD002);伊犁师范大学校级科研项目(2021YSYB076)。

摘　　要：建立了基于长记忆性的资产定价模型,考虑做市商通过调节过去的过剩需求比例的决策来出清市场价格,利用离散动力系统的稳定性和分支理论,讨论了不动点的存在性以及参数对模型稳定性的影响,重点讨论了记忆参数的改变对模型稳定区域的影响,并通过数值模拟得到:当记忆参数在一定区间内变化时,稳定区域会随着记忆参数的增大而增大,记忆参数的增大会减小股票市场的价格波动.This paper establishes an asset pricing model based on long memory.Considering that the market maker clears the market price by adjusting the decision of the excess demand ratio in the past,the existence of a steady state and the influence of parameters on the stability of the model are discussed by using the stability and branch theory of discrete dynamic systems.The effect of changing the memory parameter on the stability region of the model is focused.Through numerical simulation,the following results are obtained:when the memory parameters change within a certain range,the stable region will increase with the increase of the memory parameters,and the increase of the memory parameters will reduce the price fluctuation of the stock market.

关 键 词：长记忆 金融市场模型 稳定区域 数值模拟 

分 类 号：O211.9[理学—概率论与数理统计]