含股指期货的多资产价格动力学模型

The Multi-asset Pricing Model with Stock and Stock Index Futures

本文在做市商机制下异质交易者(基本面分析者与技术分析者)投资于多个风险资产与一个无风险资产的金融市场动态模型基础上,讨论引入以一支风险资产为标的的股指期货,建立股票与股指期货的两类资产价格模型。考虑6维动力系统模型并分析其稳定区域与分支情况,讨论主要参数对稳定区域的影响。

In this paper,under the market maker mechanism,the heterogeneous traders invest in multiple risky assets and a risk- free asset in the financial market dynamic model. We discuss the introducion of a risky assets as the subject matter of the stock index futures,and develop two types of asset pricing model on stock and stock index futures. We consider the six- dimensional discrete time dynamical system and analyse its stability region,bifurcation,and discuss how the key parameters affect the stability region.