价值分析者和技术分析者交互作用下的股市价格波动

Stock Price Fluctuating under Interacting of the Value Analysts and Technicality Analysts

运用市场上常用的基本价值分析策略和技术分析策略,以适应性信念系统模型为基础,构建了一个非线性演化的价格动力学模型。依此模型模拟的结果表明:基本价值分析策略和技术分析策略的交互行为产生波动集聚现象,适应性信念模型模拟的结果与我国股市实际的数据相似。

This paper constructs a nonlinear, evolutionary asset price dynamics model with heterogeneous, adaptive belief agents adopting fundamental strategies or technical strategies. The simulations based the model reveal volatility clustering as an endogenous phenomena caused by interaction between fundamentalists and technical analysts. The simulant data are similar to results observed in real China stock markets.