含逆风参数的异方差做市商库存动态模型分析

胡建梅; 师恪

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含逆风参数的异方差做市商库存动态模型分析

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- 含逆风参数的异方差做市商库存动态模型分析
- Journal of Xinjiang University (Natural Science Edition in Chinese and English) Vol. 29, Issue 4, Pages: 421-425(2012)
- 作者机构：
  
  新疆大学数学与系统科学学院
- 作者简介：
- 基金信息：
- DOI：
  CLC： O212.1;{F253.4}
- Published：2012
- 稿件说明：
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[1]胡建梅,师恪.含逆风参数的异方差做市商库存动态模型分析[J].新疆大学学报(自然科学版),2012,29(04):421-425.

胡建梅, 师恪. 含逆风参数的异方差做市商库存动态模型分析[J]. Journal of Xinjiang University (Natural Science Edition in Chinese and English), 2012, 29(4): 421-425.
[1]胡建梅,师恪.含逆风参数的异方差做市商库存动态模型分析[J].新疆大学学报(自然科学版),2012,29(04):421-425. DOI：

胡建梅, 师恪. 含逆风参数的异方差做市商库存动态模型分析[J]. Journal of Xinjiang University (Natural Science Edition in Chinese and English), 2012, 29(4): 421-425. DOI：

摘要

扩展了异质预期的同方差做市商库存动态模型

提出了一个含逆风参数的三类投资者的异方差动力系统模型

模型中的逆风参数表示逆向投资者在图表分析者中的比例

它由上一时期的逆风参数和市场价格共同决定.本文着重运用局部渐近稳定性及分支理论对相应的确定性系统进行分析

获得了主要参数对模型稳定性的影响.

Abstract

This paper develops a market maker inventory dynamic asset price model with three types of heterogeneous agents.The parameter of contrarians in the model represents the proportion of contrarians in the chart analyst.It consists of the parameter in the last period and the function of the market price.Using numerical simulation

the role played by the key parameters in the market behaviour is examined.

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Keywords

references

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Chiarella C,He X-Z.Heterogeneous beliefs,risk and learning in a simple asset pricing model with a market maker[J].Macroeconomic Dynamics,2003,7:503–536.

He X-Z.Asset pricing,volatility and market behaviour:a market fraction approach[R].Research Paper Series 95.Quanti-tative Finance Research Centre,School of Finance and Economics,University of Technology Sydney,2003.

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Zhu M,Chiarella C,He X,et al.Does the market maker stabilize the market[J].Physica A,2009,388:3164-3180.

王联,王慕秋.常差分方程[M].乌鲁木齐:新疆大学出版社,1991.202-204.

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