An Asset Pricing Model With General Function In Expectation Beliefs

In this paper,fundamentalists is assumed to fully understand the economic environment and form their belief according this,we establish an evolutionary heterogeneous beliefs model with two kinds of investors in the market maker scenario, using a general function to replace traditional specific linear or non-linear function to describe price beliefs of chartists and utilize time varying market fraction dimension. Then,we discuss the stability and bifurcation of deterministic system.Finally, we take the empirical analysis.It is found that the system has some styled facts(high kurtosis、fat tali and long memory) of the actual financial market,according to the methods of comparison statistics analysis,we analyse the normality,test and verify the financial data features of volatility clustering,peak thick tail and so on.While f(xt) = kxt(b + xt)(b- xt),we verify the new model is better than before in describing high kurtosis.