含記憶系數的非線性異質信念函數的資產定價.pdf

1、碩士研究生學位論文新 新 新 疆 疆 疆 大 大 大 學 學 學論文題目 (中文) : 含記憶系數的非線性異質信念函數的資產定價論文題目 (英文) : A Asset Pricing Model of NonlinearHeterogeneous Belief Function WithMemory Parameter研 究 生 姓 名 :陸志安學 科 專 業(yè) :數學研 究 方 向 :概率論與數理統(tǒng)計導師 姓名 職稱 :師 恪 副 教

2、授論文答辯日期 2017 年5 月20 日學位授予日期 2017 年 月 日AbstractAbstractThe pricing of risky assets is one of the main research questions of FinancialEconomics. In this paper, the memory parameter is embedded into the nonlin-ear heterogen

3、eous belief function. The price expectation of all types of investorsto risk securities can be obtained by the function. Thus, we establish the as-set pricing model of nonlinear heterogeneous belief function with the mem

4、oryparameter. We discuss three traders with zero preference and 2H traders whoare not zero, respectively. Using the theory of difference equation, we analysethe stability and bifurcation problem of dynamical system in th

5、e fundamentalsteady states. In the last part of this paper, we make an demonstration analysisof the system. And we obtain the conclusion that the memory coefficient has thefunction of stabilizing the market. Through data

6、 comparison, we found that themodel can well reflect the statistical properties seen in financial markets, and fiibetter with the real markets.Key words: Memory parameter; Nonlinear; Stability; Statistical property– ii –