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资产收益存在长期相关性是金融市场的一个普遍现象。提出一个交易者具有不同预期信念的资产定价模型,试图解释收益的尖峰胖尾、波动聚集以及长期记忆性等格式化特征,引入一种记忆机制解释长期记忆产生的原因。模型中交易者被分为基础交易者和图表交易者,他们对价格的均值和方差具有不同的信念,且根据交易策略的适应度来选择交易策略,交易者之间互动以及与做市商的相互作用驱动资产价格做非线性的运动。最后对模型数据进行R/S分析,并使用ARFIMA和FIGARCH模型拟合,确认了数据中长期记忆性的存在。
The long-term correlation of asset returns is a common phenomenon in financial markets. This paper proposes an asset pricing model for traders with different expectation beliefs. It attempts to explain the characteristics of earning fat tails, fluctuating aggregations and long-term memory, and introduces a memory mechanism to explain the causes of long-term memory. In the model, traders are divided into basic traders and chart traders who have different beliefs about the mean and variance of prices and choose trading strategies according to the trading strategies ’fitness. The interaction between traders and the market traders’ Interaction drives asset prices for non-linear movements. Finally, R / S analysis of the model data, and use ARFIMA and FIGARCH model fitting to confirm the existence of long-term memory of the data.