主 题: 异质金融市场价格模型的动力学研究
报告人: 何学中 教授 (Univ. of Technology, Sydney)
时 间: 2007-10-19 下午 2:00 - 3:00
地 点: 理科一号楼 1114(数学所活动)
Over the last twenty years, nonlinear dynamical systems have been used to model the
interaction of different investors in financial markets and to explain many financial market
behaviour which are hard to explain under the traditional finance theory. The first part of
this talk will briefly review the development in this literature. The second half of this talk
will present a dynamic financial market model in which demand for traded assets has both
a fundamentalist and a chartist component. It shows that rational choice between two trading strategies from investors can lead to market boom and crash, and the tendency for the market price to take long excursions away from the fundamental. The model reveals various market price phenomena, the coexistence of apparent market efficiency and a large chartist component, price resistance levels, and volatility clustering, skewness and kurtosis of retums.
