A Multi-asset Dynamic Pricing Model With Heterogeneous Belife And Empirical Research

A discrete time model of a financial market is developed, Based on ratio-nal expectations for assets traders and homogeneous belief standard asset pricingmodel in explaining the complexity and financial market volatility and so on havegreat difculties. This paper establishes the bounded rationality and heteroge-neous beliefs of the asset pricing model, the market maker adjust asset prices,and the asset income variance is divided into fixed and variable two parts.Modelcontains two risk assets and a risk-free assets, this paper analyze discrete systemstability of two kinds of risk assets based on the unrelated circumstances.In the Empirical research, We Selected GBP and JPY between foreign ex-change market with market maker system, comparatively analyse the normality, stability, correlation and heteroscedasticity of the return series of four kindsof risky assets by graphical analysis and test of statistical hypothesis (KPSStest,PP test, Hurst index,lo emendatory R/S test, Cavaliere emendatory R/Stest,GPH,ADF test,ARCH test)and ARCH Model parameter estimation, com-paratively analyse volatility clustering,peak thick tail, the long-term memoryand ARCH efect etc. financial data features.