Nonlinear Theoretical Researches In Security Investment And Its Empirical Evidence Analyses In Chinese Security Market

It is very important to normalize and develop Chinese security market that the nonlinear security investment theory is researched and applied.In this paper, the modern nonlinear theory specially fractal theory and chaos theory are used to research the behaviors' rules and the problem of pricing for correlative assets in security markets. Meanwhile, some nonlinear characteristic problems and investment management problems of security investment fund are researched empirically in Chinese security market.In chapter 2 and chapter 3, we analyze the traditional theory frame of security investment in detail. From the developmental origin of security investment theory to the four schools of international security investment kingdom at present, we have analyzed the advantages and shortages of these theories. The inevitability of using nonlinear theory to study security market is put forward and explained. The correlative nonlinear economic basis and the corresponsive research situation in the world are expounded.In chapter 4, chapter 5 and chapter 6, we analyze the phenomena of regularity and stochastic character in securities market and explain the market behavior in new theory. Then we put forward and discuss that fractional Brownian motion is the high fidelity behaviors of stock price. The conception of fractional Wiener process is put forward at first. By using it, the differential equation with fractional Winner process which pay-no-dividend-stock price obey is expounded. The Wiener process is extended to fractional Wiener process. On the basis of it, Black-Scholes model is further extended, it makes that using the model we make price more accurately and objectively for options. Simultaneously, the index to measure security market strange degree (H value) and some new viewpoints are put forward.In chapter 7, chapter 8 and chapter 9 we analyze the market behaviors which obey the stochastic time series models. Then we expound and demonstrate the viewpoint of market being nonstationary equilibrium and deduce corresponsive stock price forecasting models. It is put forward that security market behaviors in different developmental stage emerge different features. Using the method of phase space reconstruction for stock indexdata series, we established the local forecasting model and the general forecastingmodel of chaotic behavior in stock price index. Meanwhile, we established the linear forecasting model of nonlinear stock price behavior in high-dimensional phase space.In chapter 10, by analysing the affecting factors of dividend increasing rate, we construct the nonlinear dynamics model of dividend changing, and discuss all kinds of dynamical behaviors of dividend. Then we calculate the dynamical dividend discount model for evaluating the value of company, and draw a conclusion that there exist the nonlinear dynamical relations between the value of company and dividend. The better theory foundation and practical operation methods are provided for controlling and forecasting security markets and normalizing the listing company behaviors.In chapter 11, being ready for the empirical research to Chinese security market, we analyze the problems of development, situation, sustainable development and macroeconomical position of our country's security market.In chapter 12 and chapter 13, we study empirically the nonlinear characteristics of Chinese security market. At first, we test the weak form efficient market hypothesis and the distribute of return rates from different angle. According to statistics indexes of correlative data, the exist of market's nonlinear characteristics is determined. Second, we estimate and calculate the value of the nonlinear characteristic index in Chinese security market and analyze the market's long-memory effect and information-accumulate effect. Some problems which be generally payed close attention to is explained by nonlinear investment theory.In chapter 14, we investigate the security investment funds which have developed rapidly for two years and their managerial problems. We specially research into the operative trait, price position and variety innovation of our country's security investment funds and advance the construction of fund varieties under the nonlinear investment theory. We analyze that the investment funds will be faced with opportunities and challenges after Chinese government accede to WTO.