含自适应时变逆风参数的异质信念资产定价

Heterogeneous Beliefs Asset Pricing with the Adaptively Reverse Parameter

本文拓展了含两类投资者的异质预期市场情绪价格动态模型,给出了含时变逆风参数的三类交易者(基本面交易者,顺风者和逆风者)的动态差分系统,其中时变逆风参数由固定部分和自适应时变部分组成。应用差分方程相关理论对模型的稳定性和分支情况进行分析。

This paper extends a dynamic model with two types of traders, which is expected to market sen-timent. We introduce a dynamic differential system with a reverse parameter, which contains three kinds of traders (fundamentalists, reverse and forward traders). The reverse parameter is characterized by fixed and adaptive switching fraction. Using the theory of difference equation, we analyse the stability and bifurcation of this model.