投资者买卖观点转换概率的非线性资产价格动态模型及实证研究

A Nonlinear Dynamical Model of Asset Prices on the Transition Probabilities between Buyers and Sellers and Its Empirical Research

基于做市商假设构建了一个二维离散非线性资产价格动态模型,本文分析了模型中买卖者之间的转换概率同时依赖均值回归战略及传染效应时资产价格的动态稳定性,实证检验了中国资本市场影响投资者买卖观点转换概率的两个主要因素。结果表明,随着传染效应的不断增大,资产价格逐渐呈现出复杂的运动轨迹而难以收敛于均衡点,实证显示中国投资者买卖观点只具有传染效应的价格发散机制而不具有均值回归的价格稳定机制,这是中国资本市场价格现阶段难以通过市场的自我调节达到价值的基本原因。

In this paper we present a two-dimensional discrete nonlinear dynamical model of asset prices based on the assumption of the market-maker system. First we analyze the evolution and stability of asset prices when the transition probabilities between buyers and sellers can be influenced both by the trading strategy of the mean reversion and the contagion effect. We then use empirical tests to study these two factors of the transition probabilities in the Chinese capital market. It is shown that asset prices gradually exhibit a complex trajectory and difficult converge to the fundamental price due to the increasing contagion effect. The Empirical results reveal that the transition probabilities of the Chinese traders have only been affected by the contagion effect, so the China＇s capital market is difficult at this stage to achieve the fundamental price through the market self-regulation of market.