A Capital Asset Pricing Model With Memory Parameters And Empirical Analysis

This paper develops heterogeneous beliefs of the asset pricing model with the evo-lution fitness in the case of the two types of agents.First,we introduced a nonlinear function for the chartists,memory parameters ?,?,the memory parameter in deviation between the fundamentalists market fraction and chartists market fraction ?,then we develop a asset pricing model with heterogeneous beliefs.Next,by using the theory of difference equation,we discuss about the system of the model for local stability bifur-cation analysis,and obtain the effect of main parameters on the stability of the model,we get the following conclusion:the memory parameters ? can stable market.Finally,making the numerical simulation,we compare the return series of this model,the Beum-Jo Park model and the market index and verify the new model is bettter than before in describing the real market.