摘要
主要讨论基于有限理性和传染机制的资产定价模型 ,该模型包括 :买价 (卖价 )的动态方程、目标价格的动态方程、买价 (卖价 )的连续微分方程的推导、市场价格的方程和一阶矩和二阶矩方程 ,实现了从微观上市场参与者的特征到宏观上市场价格的有效转换。
We discussed maimly the financial asset pricing based o n bounded rationality and contagion. The model includes mainly four parts: the d ynamics of bid(ask) price, the dynamics of the target prices, the deduction of c ontinual differential equations of bid(ask) price, the dynamics of the market pr ice and its first and the second order moments. It makes it possible to transfor m the micro characteristics of the agents to the macro market price efficiently. The new model may explain such phenomena as the price bubble and excess volatil ity of the financial asset.
出处
《预测》
CSSCI
2001年第4期13-16,共4页
Forecasting
基金
国家自然科学基金"九五"重大资助项目 (79790 130 )
教育部跨世纪优秀人才基金资助项目