A Asset Pricing Model Of Nonlinear Heterogeneous Belief Function With Memory Parameter

The pricing of risky assets is one of the main research questions of Financial Economics.In this paper,the memory parameter is embedded into the nonlinear heterogeneous belief function.The price expectation of all types of investors to risk securities can be obtained by the function.Thus,we establish the asset pricing model of nonlinear heterogeneous belief function with the memory parameter.We discuss three traders with zero preference and 2H traders who are not zero,respectively.Using the theory of difference equation,we analyse the stability and bifurcation problem of dynamical system in the fundamental steady states.In the last part of this paper,we make an demonstration analysis of the system.And we obtain the conclusion that the memory coefficient has the function of stabilizing the market.Through data comparison,we found that the model can well reflect the statistical properties seen in financial markets,and fii better with the real markets.