摘要
将单一风险资产定价模型进行扩展,提出一个多种风险资产共存的金融市场定价模型框架。模型中的交易者对价格的均值和方差具有不同的预期,且根据交易策略的适应度来选择交易策略。异质交易者之间互动驱动资产价格作非线性的运动。文章重点分析了两种资产共存的市场条件下价格运动的相互影响,发现资产间的相关性会导致价格的波动从一个市场上传递到另一个市场上,从而引起"溢出"效应。
This paper develops a dynamical framework of a financial market with heterogeneous agents investing among multiple risky assets and a risk - free asset. Traders are classified into fundamentalists and chartists who have different expectation about the mean and variance of prices. They choose trading strategies based on their performances. Asset price is driven by the interaction between heterogeneous traders. The paper places an emphasis on the analysis of the interplay between two risky assets. We found that due to the correlation between the two assets, the price fluctuation spreads from one market to another market, leading to the ＂spill over＂ effect.
出处
《湖南大学学报（社会科学版）》
CSSCI
北大核心
2009年第4期55-60,共6页
Journal of Hunan University(Social Sciences)
基金
国家自然科学基金项目(70601023)
中国博士后科学基金项目(20060390827)
关键词
多资产
价格动态
异质信念
溢出效应
multi - asset
price dynamics
heterogeneous belief
spill over
