Study of Modern Securities Pricing Model |
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Institution: | 1. School of Economics and Management, Guangdong University of Technology, Guangzhou 510520, China;2. Department of Automation Science and Engineering, South China University of Technology, Guangzhou 510641, China |
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Abstract: | On the basis of the theory of system, epistemology, and feedback control, a novel securities pricing model — stochastic volatility pricing model (SVPM) with jump and feedback mechanism is proposed. This model overcomes the defect of traditional SVPM models that neglect the important events happening frequently in financial markets, and also considers the interaction between investors and securities price. Theoretical analysis and numerical simulations indicate that this model can simulate the complex behaviors of real securities price better than traditional SVPMs. Comparisons suggest that the simulated return rates have the same statistical characteristics as the real stocks’. Finally, practical applications of this model show that this is of high precision, efficiency, robustness, and universality. |
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