Research On The Steady State Of The Asset Price With The Heterogeneous Beliefs

The12th five-year plan for deepening the reform of financial system and capital market has made an important deployment. It clearly put forward that we must accelerate the construction of multi-level capital market system, improve the proportion of direct financing, actively develop the bond market and steadily develop the OTC market and the futures. In order to establish multi-level capital markets to meet the demand of the development, broaden the international communication channels, make capital market preferably serve the national economic development and enhance national competitiveness, market maker trading mechanism be vividly portrayed.Based on Brock and Hommes (1998), this article is under the market maker trading mechanism and establishes the heterogeneous agent model by a non-linear asset pricing model. The model contains two types of traders:fundamental investors and trend investors. Based on different beliefs, risk preference and utility, they make decisions and deal under the market maker trading mechanism. It is worth mentioning that market make in this article is not only a trader to market clearing but also an active investor having goal inventories to realize their own effectiveness maximization. Using the agent-based computational finance to carry on the simulation, the main conclusions are as follows. When an adjustment between a market maker for inventory and excess demand and trend investors for price keeps a certain proportion, the price of risk asset will remain in a stable condition, when the control parameters of the agent excess the critical value, it will appear nonlinear dynamic characteristics of bifurcation and chaos. The improving of the proportion of fundamental investors is beneficial to stabilize the market price. The trend investors grant higher weights for recent price would be conducive to price stability. The statistical analysis for the time series of price yielded by the simulation shows the facts of the spikes, volatility is gathered and long memory which is similar with the real capital markets.From the perspective of micro individuals, this article shows some new perspectives and ideas for the complex financial market. At the same time, it provides a train of thought based on micro basis for the policymakers and important reference for actual operation. It has important theoretical and realistic significance.