具有异质主体的市场分数模型分析及实证研究
Market Fraction Model with Heterogeneous Agents and Its Empirical Study

作者: 李琳 * , 师恪 :新疆大学,数学与系统科学学院,新疆 乌鲁木齐;

关键词: 异质交易者Monte-Carlo模拟幂率衰减GARCHTGARCHHeterogeneous Agents Monte-Carlo Simulations Power-Lawer Decay GARCH TGARCH

摘要: 在Xue-Zhong He and Youwei Li (2015)工作的基础上,本文实证评估了含异质交易者的市场分数资产定价模型,基于Monte-carlo模拟方法估计幂率衰减指数、GARCH参数、TGARCH参数,分别解释金融序列的长记忆性、波动聚集性和非对称性。文章对深证综指做了实证研究,并对模型结果和真实市场结果进行比较,结果显示异质信念模型可以很好的描述真实市场。

Abstract: On the basis of Xuezhong He and Youwei Li (2015), in this paper, we empirically evaluate the market fraction asset pricing model with heterogeneous traders. By conducting econometric analysis via Monte Carlo Simulations, we show that the estimates of the power law decay indies, GARCH parameters, TGARCH parameters, and explain the long range dependence volatility clus-tering, asymmetry in high-frequeny financial time series respectively. This paper did empirical research on the shenzhen composite, and the model results are compared with the results of the real market, the result show that the heterogeneous beliefs model can well describe the real market.

文章引用: 李琳 , 师恪 (2017) 具有异质主体的市场分数模型分析及实证研究。 统计学与应用, 6, 460-471. doi: 10.12677/SA.2017.64052

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