| 基于有限理性和传染机制的金融资产定价模型 |
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| 引用本文： | 宋军,吴冲锋.基于有限理性和传染机制的金融资产定价模型[J].预测,2001,20(4):13-16. |
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| 作者姓名： | 宋军 吴冲锋 |
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| 作者单位： | 上海交通大学 管理学院，上海 200030 |
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| 基金项目： | 国家自然科学基金“九五”重大资助项目(79790130)；教育部跨世纪优秀人才基金资助项目 |
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| 摘 要： | 主要讨论基于有限理性和传染机制的资产定价模型，该模型包括：买价（卖价）的动态方程、目标价格的动态方程、买价（卖价）的连续微分方程的推导，市场价格的方程和一阶距和二阶矩方程，实现了从微观上市场参与者的特征到宏观上市场价格的有效转换，基于有限理论和传染机制的资产定价模型可以解释金融资产产的价格泡沫和波动率过大现象。
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| 关 键 词： | 有限理性 传染机制 价格泡沫 超额波动率 金融资产 定价模型 金融市场 |
| 文章编号： | 1003-5192(2001)04-0013-04 |
Financial Asset Pricing Model Based on Bounded Rationality and Contagion |
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| SONG Jun,WU Chong-feng.Financial Asset Pricing Model Based on Bounded Rationality and Contagion[J].Forecasting,2001,20(4):13-16. |
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| Authors: | SONG Jun WU Chong-feng |
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| Abstract: | We discussed maimly the financial asset pricing based o n bounded rationality and contagion. The model includes mainly four parts: the d ynamics of bid(ask) price, the dynamics of the target prices, the deduction of c ontinual differential equations of bid(ask) price, the dynamics of the market pr ice and its first and the second order moments. It makes it possible to transfor m the micro characteristics of the agents to the macro market price efficiently. The new model may explain such phenomena as the price bubble and excess volatil ity of the financial asset. |
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| Keywords: | bounded rationality contagion price bubble excess v olatility |
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