A Asset Pricing Model With State-Dependent Confidence And The Multi-asset Pricing Model With Stock And Stock Index Futures

In the paper,we discuss a asset pricing model with state-dependent confi-dence and its stability region,bifurcation conditions.Based on a dynamic model of a financial market where heterogeneous agents invest among multiple risky assets and a risk-free asset,under a market maker scenario,we discuss which introduce stock index futures based on the risky asset and develop a multi-asset pricing model with stock index futures.Then we analyse its stability region and its bifur-cation problem. Consider it that the changing conditions of stability region when the risky asset uncorrlated with stock index futures or the complex condition of the risky asset corrlate with stock index futures.By numerical simulation that we find the model’s simulation data can reflect well some classical styled facts about the true financial market.What’s more,by phase we discuss when introduce the stock index futures that is different from the normal model.At the same time,we analyse the mutual effect with stock market and stock index futures market by using statistical properties.