投資者的金融資產(chǎn)價(jià)格模擬模型


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目 錄

第一章 緒論…………………………………………………………………………6
1.1研究意義及背景………………………………………………………………………………………6
1.2主要研究內(nèi)容………………………………………………………………………………………….6
1.3目前現(xiàn)狀……………………………………………………………………………………………….6
第二章 金融資產(chǎn)波動(dòng)的主要特征…………………………………………………8
2.1尖峰厚尾特性………………….…………………………………………………………………..8
2.2波動(dòng)時(shí)變性和集聚性………………………….………………………………………………….8
2.3長期記憶性……………………………………………………………………………………………8
2.4波動(dòng)的溢出效應(yīng)…………………………………………………………..…………………………..8
2.5杠桿效應(yīng)……………………………………………………………………… .……………….……..9
第三章 sznajd模型 ……………………………………………………………10
3.1 Sznajd模型簡介...………………….………………………………………………….………10
3.2 Sznajd模型在經(jīng)濟(jì)金融方面的應(yīng)用………………………………………………………..……11
3.3 模擬模型的建立……………………………………………………………………………….……13
3.4 模型的實(shí)施過程……………………………………………………………………………….……16
第四章 模擬結(jié)果檢驗(yàn)及分析.……………………………………………………18
4.1 模擬結(jié)果…………………………..……………………………………………………………..….18
4.2 模擬結(jié)果統(tǒng)計(jì)特性檢驗(yàn)…………………………………………………………………...………..19
4.2.1 尖峰厚尾特性檢驗(yàn)……………………………………………………………/………….…19
4.2.2 波動(dòng)集聚性檢驗(yàn)………………………………………………………………………….….21
4.2.3 長記憶性檢驗(yàn)…………………………………………………………………………/….…22
4.3 模擬結(jié)果進(jìn)一步分析………...………………………………………//……………………………23
結(jié)論…………………………………………………………………………………27
致謝…………………………………………………………………………………27
參考文獻(xiàn)……………………………………………………………………………28



摘要: 自上個(gè)世紀(jì)八十年代，很多研究金融的人員發(fā)現(xiàn)了月效應(yīng)和季節(jié)效應(yīng)等跟傳統(tǒng)的市場理論發(fā)生沖突的現(xiàn)象。為了研究產(chǎn)生這些現(xiàn)象的客觀原因，研究者利用數(shù)學(xué)、物理的等自然科學(xué)理論應(yīng)用于研究證券市場的波動(dòng)、變化。并且建立了相關(guān)的模擬模型，研究這類異?，F(xiàn)象。在股市市場中，模擬交易者之間的各種聯(lián)系，本文通過建立一個(gè)Sznajd模型，以金融投資者個(gè)人為研究目標(biāo)，建立一個(gè)金融資產(chǎn)定價(jià)模型。 本文將設(shè)定一定的基礎(chǔ)條件，在這些條件的基礎(chǔ)上進(jìn)行模擬研究，并利用統(tǒng)計(jì)學(xué)的相關(guān)理論，將模擬模型產(chǎn)生的結(jié)果進(jìn)行數(shù)值分析。計(jì)算機(jī)模擬的價(jià)格曲線和金融投資中的收益曲線，在有些特征上是相似的，如長記憶性和尖峰后尾性等，這在一定程度上可以證實(shí)本文建立的股票Sznajd擴(kuò)散模型在一些方面抓住了金融股票實(shí)際市場的特性。此外，本文對投資者個(gè)人偏好以及金融環(huán)境等因素對金融資產(chǎn)價(jià)格的影響做了相關(guān)的討論，研究。
關(guān)鍵詞：Sznajd模型；金融資產(chǎn)；股票；股票價(jià)格；模擬


Financial asset prices simulation model investor
Abstract Since the 1980s , researchers found that there are many traditional financial theory with financial markets - the efficient market theory does not match the " anomalies " , including the January effect , seasonal effects. In order to explore its causes , the researchers will analyze nonlinear , dynamical systems research methods , such as chaos and fractal applied to the study of natural sciences securities markets , and research tools to build complex systems by means of a number of models.
In this paper, the model -Sznajd comments diffusion model to describe the relationship between the micro- market traders in the stock market between built form based on the individual financial assets ( stock ) price model . Model of individual decision-making by the combined effect of their own will and decisions surrounding neighborhood , price formation and evolution of the formation process of the actual stock market reference price , which make trading decisions, reported the sale price , to achieve the trading transactions, the market price of the final produce .
Computer simulation of the initial conditions and in a suitable parameter space , and the numerical simulation results . The results show some characteristics of the simulated price curve and the yield curve has a typical statistical characteristics of the financial asset volatility , and the findings of the empirical reality of the market is basically consistent as long memory , fat tail characteristics , so that the establishment of this article stock market price simulation models in some respects to seize the property of the actual market. Role model parameter sensitivity analysis carried out , focusing on the impact of investor willingness and antagonistic effects of two factors on financial asset prices. Finally , a simple analysis of financial assets when the rational and the followers of the market , while the pr..