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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.
Based on the theory of system theory, epistemology and feedback control theory, based on the traditional stochastic volatility price model, by modifying its defect of neglecting the fact that “big events occur frequently in the real financial market”, at the same time, introducing the securities investors and securities prices , This paper proposes a new securities pricing model - stochastic volatility model with jump and feedback.Theoretical analysis, numerical simulation and practical application show that the new model can be better than the traditional stochastic volatility pricing model Compared with the short-term forecasting model, the new model has the advantages of high prediction accuracy, fast speed, robustness and universal applicability. Compared with the real stock price, Features.