在做市商机制下预测我国股票市场价格模型的研究

A Study on the Price Forecasting Model of China’s Stock Market under the Market Maker

摘要: 由于金融市场的复杂动态和不稳定性，在理性预期下的标准资产定价模型很难预测价格变化。在传统金融模型中，认为基本面分析者的预期信念与价格偏差有很大的关系，而对于图表分析者，将预期信念归因于对于历史价格的学习过程。因此，我们在做市商机制下建立一个简单的异质代理人模型，包括两类交易者：基本面分析者和图表分析者。从以下几方面研究：1) 研究我国股票市场的收益与波动动态之间的关系。2) 预测市场价格动态。3) 以上海证券市场综合指数为研究对象。本文用统计分析方法将由模型得到的仿真数据的收益序列模拟结果与实证研究做对比分析，并做相关统计检验。分析结果表明股票市场具有高的相关性与异方差性，波动性与市场风险性，长记忆性，并且收益率序列是具有非对称性以及市场中总体上存在着杠杆效应，引起了价格变化，发现此模型能较好的反映真实市场。

Abstract: Due to the complexity, dynamics and instability of financial markets, the standard asset pricing model under rational expectations is hard to predict price changes. The expectation beliefs of the fundamentalists are closely related to the price bias in the traditional financial model, however, for chartists, the expectation beliefs are attributed to the learning process of historical prices. Therefore, we set up a simple heterogeneous agent model under the market maker, including two traders (fundamentalists and chartists). This paper studies from the following aspects: 1) The relationship between returns and volatility in China’s stock market is studied; 2) Forecast market price dynamics; 3) Taking the index of Shanghai stock market as the object of study. In this paper, the statistical analysis method is used to compare the simulation results and empirical results of the simulation data obtained from the model, and do statistical tests. The results show that the stock market has high correlation and heteroscedasticity, and volatility and market risk. The returns are asymmetric and there is leverage effect in the market as a whole. This causes price changes. It is found that this model can reflect the real market better.