Heterogeneous Beliefs Simulation Model Dynamic And Empirical Study In The Financial Market

In this paper, we contribute an evolutionary heterogeneous beliefs model byusing t distribution to replace traditional standard normal to describe fundamen-tal price process and adding risk-adjusted market fraction function in classicaltwo types traders (fundamentalists and chartists) scheme. And then we utilizedifference equation stability and bifurcation theory and numerical simulation tostudy the system. It is found that the system has some styled facts (high kurto-sis,fat tali and long memory) of the actual financial market, and this indicatesthat the simulation model can reflect well the true financial market. Finally,we build a multi-assets heterogeneous model by adding a European call optionof one risky asset, and then study the stability and bifurcation boundary of thenonlinear system.