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Two Kinds Of Parameters On The Effect Of Dynamic Model Of Asset Prices-

Posted on:2015-05-05Degree:MasterType:Thesis
Country:ChinaCandidate:Z YangFull Text:PDF
GTID:2309330431991614Subject:Probability theory and mathematical statistics
Abstract/Summary:PDF Full Text Request
First, we develop a financial market model with evolutionary adaption and introduce the time-varying special parameters to reverse and the evolution-ary adaption measure.we apply the difference equation’s stability and bifurca-tion theory to study the system.It indicates when the reverse investor partic-ipate in the two type investor’s market,the stability region will be increased and it can stabilize and enliven the market by adjusting its proportion in the chartists.simultaneously,we consider the parameters of α,β,γ to influence the market.Second,based on the multi-asset model,we introduce the securities loan factor,ie,investor invest in securities loan’s proportion.Similarly,we utilize the dif-ference theory to study the model about the stability and bifurcation when the two asset is correlative or uncorrelated.And then we find it can stabilize the mar-ket,decrease the volatility of the market;Finally,we use numerical simulation to test and verify the conclution.and use time series statistical knowledge for system to check it’s statistical feature.By comparing with the true market,we find the model can fit the true market well.
Keywords/Search Tags:special parameters to reverse, evolutionary adaption measure, securities loan factor, stability, statistical feature
PDF Full Text Request
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