A Capttal Asset Pricing Model And The Chaotic Phenomena Empirical Analysis

In recent years, a large number of empirical studies prove fnancial market isa complex nonlinear system, thus with nonlinear dynamic system theory study ofthe fnancial market is extensive discussion and attention. The typical nonlineardynamic behavior is chaotic dynamic behavior and the fractal characteristics, manydomestic and foreign scholars, by using chaos theory and the fractal theory explainsmany economic chaos phenomena existing in the feld. In1987, Grassber P andothers propose phase space reconstruction after the technology, from pure quantitytime series of fractal dimension, the biggest extracted Lyapunov index and chaoticcharacteristic features, so that the chaos theory into empirical application stage.This paper applied diference equation theory, set up with a variety of assetsbenefts for research object discrete system pricing model, and then the power systemstability theory, Discuss system consists of two risk assets defnite system stability. Inempirical research, the selection of model of two kinds of risk assets and the Shanghaiindex, shenzhen composition index returns the number of time series as the researchobject, First use graphics analysis and statistics test that real market and simulatingmarket are the characteristics of the non-linear; Can be chaos phenomena inspection,then apply R/Sanalysis, relevant d inspection, maximum Lyapunovindex inspection,BDSinspection And the simulation of real respectively market market inspectionchaos phenomena, and concludes that the simulation and the real market has thesame market chaos phenomena, indicating that this model can better depict realmarket.