投资者的金融资产价格模拟模型.doc
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投资者的金融资产价格模拟模型,12700字 29页目录第一章 绪论61.1研究意义及背景61.2主要研究内容.61.3目前现状.6第二章 金融资产波动的主要特征82.1尖峰厚尾特性...82.2波动时变性和集聚性..82.3长期记忆性82.4波动的溢出效应....82.5杠杆效应 ....9第三章 sznajd模型103...
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投资者的金融资产价格模拟模型
12700字 29页
目 录
第一章 绪论…………………………………………………………………………6
1.1研究意义及背景………………………………………………………………………………………6
1.2主要研究内容………………………………………………………………………………………….6
1.3目前现状……………………………………………………………………………………………….6
第二章 金融资产波动的主要特征…………………………………………………8
2.1尖峰厚尾特性………………….…………………………………………………………………..8
2.2波动时变性和集聚性………………………….………………………………………………….8
2.3长期记忆性……………………………………………………………………………………………8
2.4波动的溢出效应…………………………………………………………..…………………………..8
2.5杠杆效应……………………………………………………………………… .……………….……..9
第三章 sznajd模型 ……………………………………………………………10
3.1 Sznajd模型简介...………………….………………………………………………….………10
3.2 Sznajd模型在经济金融方面的应用………………………………………………………..……11
3.3 模拟模型的建立……………………………………………………………………………….……13
3.4 模型的实施过程……………………………………………………………………………….……16
第四章 模拟结果检验及分析.……………………………………………………18
4.1 模拟结果…………………………..……………………………………………………………..….18
4.2 模拟结果统计特性检验…………………………………………………………………...………..19
4.2.1 尖峰厚尾特性检验……………………………………………………………/………….…19
4.2.2 波动集聚性检验………………………………………………………………………….….21
4.2.3 长记忆性检验…………………………………………………………………………/….…22
4.3 模拟结果进一步分析………...………………………………………//……………………………23
结论…………………………………………………………………………………27
致谢…………………………………………………………………………………27
参考文献……………………………………………………………………………28
摘要: 自上个世纪八十年代，很多研究金融的人员发现了月效应和季节效应等跟传统的市场理论发生冲突的现象。为了研究产生这些现象的客观原因，研究者利用数学、物理的等自然科学理论应用于研究证券市场的波动、变化。并且建立了相关的模拟模型，研究这类异常现象。在股市市场中，模拟交易者之间的各种联系，本文通过建立一个Sznajd模型，以金融投资者个人为研究目标，建立一个金融资产定价模型。 本文将设定一定的基础条件，在这些条件的基础上进行模拟研究，并利用统计学的相关理论，将模拟模型产生的结果进行数值分析。计算机模拟的价格曲线和金融投资中的收益曲线，在有些特征上是相似的，如长记忆性和尖峰后尾性等，这在一定程度上可以证实本文建立的股票Sznajd扩散模型在一些方面抓住了金融股票实际市场的特性。此外，本文对投资者个人偏好以及金融环境等因素对金融资产价格的影响做了相关的讨论，研究。
关键词：Sznajd模型；金融资产；股票；股票价格；模拟
Financial asset prices simulation model investor
Abstract Since the 1980s , researchers found that there are many traditional financial theory with financial markets - the efficient market theory does not match the " anomalies " , including the January effect , seasonal effects. In order to explore its causes , the researchers will analyze nonlinear , dynamical systems research methods , such as chaos and fractal applied to the study of natural sciences securities markets , and research tools to build complex systems by means of a number of models.
In this paper, the model -Sznajd comments diffusion model to describe the relationship between the micro- market traders in the stock market between built form based on the individual financial assets ( stock ) price model . Model of individual decision-making by the combined effect of their own will and decisions surrounding neighborhood , price formation and evolution of the formation process of the actual stock market reference price , which make trading decisions, reported the sale price , to achieve the trading transactions, the market price of the final produce .
Computer simulation of the initial conditions and in a suitable parameter space , and the numerical simulation results . The results show some characteristics of the simulated price curve and the yield curve has a typical statistical characteristics of the financial asset volatility , and the findings of the empirical reality of the market is basically consistent as long memory , fat tail characteristics , so that the establishment of this article stock market price simulation models in some respects to seize the property of the actual market. Role model parameter sensitivity analysis carried out , focusing on the impact of investor willingness and antagonistic effects of two factors on financial asset prices. Finally , a simple analysis of financial assets when the rational and the followers of the market , while the pr..
12700字 29页
目 录
第一章 绪论…………………………………………………………………………6
1.1研究意义及背景………………………………………………………………………………………6
1.2主要研究内容………………………………………………………………………………………….6
1.3目前现状……………………………………………………………………………………………….6
第二章 金融资产波动的主要特征…………………………………………………8
2.1尖峰厚尾特性………………….…………………………………………………………………..8
2.2波动时变性和集聚性………………………….………………………………………………….8
2.3长期记忆性……………………………………………………………………………………………8
2.4波动的溢出效应…………………………………………………………..…………………………..8
2.5杠杆效应……………………………………………………………………… .……………….……..9
第三章 sznajd模型 ……………………………………………………………10
3.1 Sznajd模型简介...………………….………………………………………………….………10
3.2 Sznajd模型在经济金融方面的应用………………………………………………………..……11
3.3 模拟模型的建立……………………………………………………………………………….……13
3.4 模型的实施过程……………………………………………………………………………….……16
第四章 模拟结果检验及分析.……………………………………………………18
4.1 模拟结果…………………………..……………………………………………………………..….18
4.2 模拟结果统计特性检验…………………………………………………………………...………..19
4.2.1 尖峰厚尾特性检验……………………………………………………………/………….…19
4.2.2 波动集聚性检验………………………………………………………………………….….21
4.2.3 长记忆性检验…………………………………………………………………………/….…22
4.3 模拟结果进一步分析………...………………………………………//……………………………23
结论…………………………………………………………………………………27
致谢…………………………………………………………………………………27
参考文献……………………………………………………………………………28
摘要: 自上个世纪八十年代，很多研究金融的人员发现了月效应和季节效应等跟传统的市场理论发生冲突的现象。为了研究产生这些现象的客观原因，研究者利用数学、物理的等自然科学理论应用于研究证券市场的波动、变化。并且建立了相关的模拟模型，研究这类异常现象。在股市市场中，模拟交易者之间的各种联系，本文通过建立一个Sznajd模型，以金融投资者个人为研究目标，建立一个金融资产定价模型。 本文将设定一定的基础条件，在这些条件的基础上进行模拟研究，并利用统计学的相关理论，将模拟模型产生的结果进行数值分析。计算机模拟的价格曲线和金融投资中的收益曲线，在有些特征上是相似的，如长记忆性和尖峰后尾性等，这在一定程度上可以证实本文建立的股票Sznajd扩散模型在一些方面抓住了金融股票实际市场的特性。此外，本文对投资者个人偏好以及金融环境等因素对金融资产价格的影响做了相关的讨论，研究。
关键词：Sznajd模型；金融资产；股票；股票价格；模拟
Financial asset prices simulation model investor
Abstract Since the 1980s , researchers found that there are many traditional financial theory with financial markets - the efficient market theory does not match the " anomalies " , including the January effect , seasonal effects. In order to explore its causes , the researchers will analyze nonlinear , dynamical systems research methods , such as chaos and fractal applied to the study of natural sciences securities markets , and research tools to build complex systems by means of a number of models.
In this paper, the model -Sznajd comments diffusion model to describe the relationship between the micro- market traders in the stock market between built form based on the individual financial assets ( stock ) price model . Model of individual decision-making by the combined effect of their own will and decisions surrounding neighborhood , price formation and evolution of the formation process of the actual stock market reference price , which make trading decisions, reported the sale price , to achieve the trading transactions, the market price of the final produce .
Computer simulation of the initial conditions and in a suitable parameter space , and the numerical simulation results . The results show some characteristics of the simulated price curve and the yield curve has a typical statistical characteristics of the financial asset volatility , and the findings of the empirical reality of the market is basically consistent as long memory , fat tail characteristics , so that the establishment of this article stock market price simulation models in some respects to seize the property of the actual market. Role model parameter sensitivity analysis carried out , focusing on the impact of investor willingness and antagonistic effects of two factors on financial asset prices. Finally , a simple analysis of financial assets when the rational and the followers of the market , while the pr..
