Research On The Heterogeneous Beliefs Of The Fluctuation Of Stock Price

Traditional asset pricing theories based on the hypothesis that investors arerational and market is efficient, which are the core of modern financial theory.Following the continuous deepening of the research, the financial anomalies in themarket which can’t be explained by traditional asset pricing have come out,behavioral finance which aims at explaining the various anomalies in the modernfinancial market is on the rise. With the introduction of the heterogeneous beliefsmodel, behavioral asset pricing theory has successfully described a large number ofthe market anomalies which traditional asset pricing theory can’t explain. Therefore,assert pricing research based on the investor heterogeneous beliefs has importantpractical significance.This paper defines the heterogeneity of investors and its classification, and thenanalyze the conduction mechanism of heterogeneous beliefs. then we studies theheterogeneous beliefs of investors, firstly deduced on the static equilibrium model ofheterogeneous posterior belief, and then extended to the dynamic pricing model ofstock, after deduction analysis, draw the process of stock price formation is a dynamicprocess, affected by many dynamic factors..after that the positive feedback traderswere Introduced into the basis of the DSSW model, study the process of stock priceformation between rational investors and noise investors in the market, after a seriesof rigorous derivation can be easily see the process of stock price formation is adynamic process, a period of price is affected by the price of last period.This paper constructs the optimization model for multi object parameter, usingclosing price of the composite index of Shanghai Stock Exchange to calculate Modelparameters，The time span from January1,2008to December31,2013. In order toshow changes in stock prices more clearly, with the existence of positive feedbacktraders in the DSSW,using the simulation method to study changes in proportion ofnoise traders and positive feedback on stock price volatility, and a detailed analysis ofthe impact of changes in different beliefs investor proportion of stock price dynamicsthe. The simulation results show that, the larger the proportion of non-rationalinvestors, the greater is volatility of the stock, ratio changes of positive feedbacktraders on the volatility of stock price is not obvious.