含记忆系数的资本资产定价模型
An Asset Pricing Model with Memory Coefficient
摘要: 本文扩展了异质信念下的含基本面分析者和图表分析者两类投资者的资产价格动态模型。引入记忆参数、市场分数差的记忆系数，由此构建了一个资产定价模型。利用差分方程相关理论讨论了其确定性模型的平衡解的存在性和稳定性。其次分析记忆系数的一些性质及其对稳定性区域的影响。
Abstract:
This paper develops heterogeneous beliefs of the asset pricing model with the evolution fitness in the case of the two types of agents. Introducing memory coefficient, the memory parameter in deviation between the fundamentalists market fraction and chartists market fraction, we develop an asset pricing model with heterogeneous beliefs. By using the theory of difference equation, we discuss about the system of the model for local stability bifurcation analysis, and obtain the effect of main parameters on the stability of the model.
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