经济时间资产定价模型

Assets pricing under economic time

在常规时间变换研究中所采用的从属概念是建立在独立条件上的,但是价格和成交量之间却是相关的.为了能够将成交量作为价格的随机时间,推广了从属概念,提出了相关从属的定义.相关从属扩大了时间变换研究的范围.继而讨论了相关从属下过程的扩散性质,研究了经济时间上的资产定价问题,结果类似于资本资产定价模型和套利定价模型.最后,利用零贝塔CAPM检验对上海A股市场进行了实证研究,发现经济时间资产定价模型在某些情况下是成立的,并且同样条件下的经济时间模型比日历时间模型的拟合度要高.

Economic systems may not evolve evenly in calendar time.So come economic time and time deformation.Although subordination is the most important mathematical method for time deformation,there is a deficiency in the definition.Because it requires that the stochastic time process and the latent process should be independent.It＇s constraining in practice,because the processes often correlate in this way or that way.In order to model such cases,a new concept of dependent-subordination is proposed here.It generalizes subordination from independence to dependence and can be applied in many circumstances,for example,it can be applied to prices and volumes.In early studies,researchers always choose volume as a stochastic time for price.But now we know that price isn＇t independent of volume and they are correlated.So,choosing volume as a stochastic time for price isn＇t appropriate in subordination.But,with the definition of dependent-subordination,volume can be a stochastic time for price.This coincides with the idea that price changes may really be driven by volumes.Next,diffusion properties of dependent-subordination are presented.Finally,assets pricing under economic time is discussed as an application of dependent-subordination.Results are similar to ordinary calendar ones of CAPM and APT.