An Asset Pricing Model With Strategy Conversion And Empirical Analysis

In the transaction process,various types of investors are constantly learning to evolve and choose,which makes the market proportion of investors changing.It will affect price volatility.However,price volatility will affect investors’ choice of strategy.According to different trading strategies to obtain actual profits,investors account for changes in market share.In the paper,investors’ market fraction is not synchronized with trading strategies,and an asset pricing model with fundamentalists(optimists and pessimists)is established.In this model,we mainly discuss the influence of strategy conversion on market price volatility.Firstly,the paper uses the theory of difference equations to analyze the model of deterministic system,such as local asymptotic stability of the equilibrium solution and the bifurcation of critical value of the parameter.Secondly,taking Shanghai Index and all Shanghai A shares as empirical analysis data,we compare the model,A.Naimzada(2015)model and the real market’s abnormality,stationarity and autocorrelation through statistical tests.Finally,the simulation results show that our model can be better explained the statistical characteristics of stock markets,such as stationary and autocorrelation.