基于异质信念的多资产动态定价模型研究

将单一风险资产定价模型进行扩展,提出一个多种风险资产共存的金融市场定价模型框架.模型中的交易者对价格的均值和方差具有不同的预期,且根据交易策略的适应度来选择交易策略.异质交易者之间互动驱动资产价格作非线性的运动.文章重点分析了两种资产共存的市场条件下价格运动的相互影响,发现资产间的相关性会导致价格的波动从一个市场上传递到另一个市场上,从而引起"溢出"效应.

A Multi-Asset Pricing Model with Heterogeneous Belief

This paper develops a dynamical framework of a financial market with heterogeneous agents investing among multiple risky assets and a risk-free asset. Traders are classified into fundamentalists and chartists who have different expectation about the mean and variance of prices. They choose trading strategies based on their performances. Asset price is driven by the interaction between heterogeneous traders. The paper places an emphasis on the analysis of the interplay between two risky assets. We found that due to the correlation between the two assets, the price fluctuation spreads from one market to another market, leading to the "spill over" effect.