现代证券定价模型研究

基于系统论、认识论、反馈控制论,在传统随机波动价格模型的基础上,通过修正其忽略“现实金融市场中,大事件发生比较频繁”这一事实的缺陷,同时引入证券投资者与证券价格之间的交互作用,提出一种新的证券定价模型——带跳及反馈的随机波动模型.理论分析、数值仿真和实际应用均表明,与传统随机波动价格模型相比,新模型可更好地刻画现实证券价格的复杂行为,生成的价格序列的收益统计特性与真实证券价格较吻合;与现有股价短期预测模型相比,新模型具有预测精度高、速度快、鲁棒及普适性等特点.

Study of Modern Security Pricing Model

Basing on the theory of system,epistemology and of feedback control,a new security pricing model-stochastic volatility pricing model(SVPM) with jump and feedback,is proposed by amending a defect lying in the original models that neglect the important events happened frequently in financial markets,and by importing the interaction between investors and security price.Theoretical analysis,numerical simulations and practical applications all show that the new model simulates the complex behaviors of real security price better than the traditional SVPMs and its output price series possess the same statistical characteristics of return as that of the real ones;besides,compared with the existing short-term security price predicting models,the new model is of high precision and efficiency,robustness as well as universality.